If you are asking, "Can COBOL print underlines?", the answer is "It depends". It depends on what you are going to use to do the printing, that device needs to have an underlining capability.
So I guess the answer is yes, COBOL can write in that format, whether or not the final appearance will show the underlines depends on the output device.
As an aside, back in the old days, underlining was done (on a high speed line printer) by printing the line of text and then printing the underlines needed on the same line. Bolding was done by repeated printing of the same text needing to be bolded on the same line.
The first thing, I think, is to find out what kind of printer(s) your shop has. There is no way (that I can think of) to implement (or even test for) underlining without determining the printer make and model (and possibly features).
I'm sorry I can't help any more than this, but without additional information my hands are tied.