The XIV Team give us a lot of riddles, do you think we're good at figuring them out?

[Vyrerus]

I want Sharlyan and the final zone to be the moon, but I seriously hope we don't waste zones on the underground, i want to explore locations that have been set up for years, with cultures we have heard about like Islabard, we have had our shard hoping expansion, it is time to explore more of the source, that has been set up for years.

Well you see, there's many ways for them to handle it, while having us explore more of the Source.

In FFIV there is a teleportation device known as, "The Devil's Road." or "Serpent's Path" depending on translation. It teleports you from Baron Castle Town to Mysidia. It's entirely possible that we go to Sharlayan, and the Sharlayans have a Devil's Road that will take us to Meracydia, which then may lead us to the underground.

Also grant the fact that, in Cilia's comparison, the Burn is pretty much a foreshadow for The Empty. The Empty isn't a zone we go to, other than one section in the Eden raids. It's likely the Underground would be one zone then.