Yeah, I'm not sure non-Londoners appreciate this. The escalators at Angel (where I grew up) go 60m deep. Someone skiied down them and hit 30mph: https://en.wikipedia.org/wiki/Angel_tube_station#Escalator_s... https://youtu.be/rlF4nRUbKmc?t=53.
If I were to hazard a guess this is because of the soft clay that London is built on - on the one hand the soft material makes it very easy to dig tunnels, on the other hand if those tunnels are dug too shallow they will very easily destabilise the foundations of the buildings above. So you have to to build them at a depth which would be prohibitively expensive somewhere built on harder rock.