New Orleans -as any atlas, fifth grader or average Joe on the street will tell you- is below sea level. This should have made the tunnels an impossibility. As such, most people didn't think to look for them. But Remy had no such qualms. He'd been exploring the tunnels of the Thieves Guild since he was no more then ten, and those of the Assassins Guild too, but that wasn't allowed, even then.
He instructed Rogue to cover her eyes as they drew closer to the entrance. It was a time honored secret and it would remain so until long after Remy's death if he had anything to say about it.