You can not build a tunnel with natural cover, however, if you scour the mountains you will find some awesome narrow valleys that have a whole ton of potential. With the right block work for the ceiling you can create a cave like structure from the outside with a main entrance door that blends into the mountain. The snow over the top, will make a very nice looking hideout.
When Mistlands arrives, it is my next build idea, mines of Moria style.