I'll leave it to someone better informed to find a way of suggesting how to add letters below underlined words – if I've read your question correctly – because I'd probably mark the options more like this:

The capital of Nuevo Mundo is [A] Amphibia; [b] Bournville; [C] Courier New.

Apart from hyperlinks, I've given up on using underlines myself since reading the mantra "underlining is for typewriters", quite a few years ago now :-}