Between being the granite state and the massive frost heave we get it wouldn't be cheap or easy. On average, above ground lines cost between $200k and $500k, while underground can cost $1M - $5M per mile. We have about 20k miles of power lines. So on the low end you are looking at $20B to bury them. Underground power lines are also more complicated and still require a significant amount of costly maintenance and repairs.

This paper is a bit old, but still accurate for the most part if you want to read up on underground lines.