There are museums which are underground, probably because the architect found this design cool, or there was not enough place on the surface. Sometimes the underground space is available and is simply used for this purpose, without any other rational reason. Or the climate outside is quite bad and underground buildings have some real advantages.
There are numerous underground museum in cities and most of them are archaeological museums. In this case there was an archaeological excavation caused by the construction of a building or road, rpobably a subway. Most countries have laws which protect the ancient remains, and so it was necessary to find a way to protect those remains while being able to do the construction nevertheless. The result is a new road or skyscraper which has an underground archaeological museum in the basement.