I'm floored that I can't think of one play, but there are quite a few subway scenes in "On the Town" (Miss Turnstyles you know and Jackie Hoffman as the old lady chasing the sailors after they rip off the poster), and "Bells Are Ringing" with the "Hello Hello There!" number. Anything Neil Simon perhaps? Every time I see "The Nanny" episode where they are at Astor Place and Fran holds the woman's baby after demanding that the man who demanded she give him a dollar give her a dollar, I think of that song.
It wasn't set there but I'm pretty sure the play Machinal that roundabout did had a few subway scenes but used them more as transitions perhaps. It was in 2014 so I'm not 100% sure if I'm remembering correctly.
The musical Linie 1, according to Wiki, is the second most successful German musical after The Threepenny Opera. It's about all kinds of people the protagonist encounters in Berlin's Line 1 subway. There are translated versions, but not sure if an English version exists.