Yes it can be an issue because the GPS doesn't know where you are and thinks you are on an aboveground street. Freeway tunnels can have multiple exits too.
Try the tunnels in Boston some time. They have highway exits in the tunnels. And my favorite part is after that there's a fork with not much distance to figure out which one sends you the right direction on the interstate. Also the only signage is painted on the road, which has cars on it.