As anyone who has actually been to the Kotel knows, these photos are taken from the building immediately to the left of the outdoor plaza where many pray (especially when it rains.) The wall is in fact the Kotel itself. Nothing underground here, although from within that building there are shafts that go down to the bottom of the Kotel itself.
But perhaps since Arabs would riot if there were secret synagogues underneath the Kotel, maybe the Jews should just stop prayers in any area that looks tunnel-like. After all, that seems to be what "experts" who blame Jews for Arab rioting seem to want to see.