New York City's subway system was made just after the turn of the 20th century, so tunnels of such a scope are perfectly viable, however keep in mind that such tunnels take years of effort and resources; making tunnels is a considerable investment, the likes of which depend on governments (or large corporations to undertake). This will provide natural structure against the gas, but will only be stable if drilled through bedrock. Once you leave this, plates moving and ground shifting can cause complications, but not ones you can't deal with.
I imagine sealant is semi-regularly (every couple of years?) reapplied to the walls and ceiling of these tunnels to accommodate for any forming cracks, similar to how asphalt cracks are patched.
Also likely the tunnels are partitioned off into sections with double sets of doors sealing off the spans set up so both doors are never open at one time. This way if a leak does happen, it will be contained until it can be pumped out. This is a pretty low-technology, easy-to-manage, fool-proof way of containing such a leak.
Very small leaks I'm assuming won't be an issue; if the air is 999 parts clean air to 1 part contaminated air, I imagine the citizens won't notice it. Still, you'll want some sort of detectors placed in the tunnel (I'm assuming this is possible with your smog, although I don't know the exact nature of it) that maintenance patrols would check once each every handful of days.
Only important trade routes of relatively short length would such be affordable, and would be an investment from the cities. Such tunnels would clearly encourage trade and would be beneficial, while other non-tunnel trade routes would be limited to those who have the finances to purchase the better breathing equipment (large corporations, government), or those who are willing to risk more shoddy equipment. In either case such routes won't be your main paths of trade.
Above ground tunnels would be considerably more work to build and maintain, and your chances of leaks will be far greater (since you no longer can depend on multiple feet of dirt and stone). Underground tunnels can be dug a few feet deeper for increased security, at no practical increase in their associated expense.
Probably most people using the tunnels would still carry emergency breathing equipment (like modern cars have seatbelts and airbags) just in case a leak happened.