Underscore is a custom module you need to deploy separately. Refer to this list [1] for details of modules which are out-of-the-box.
Important, please note :
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Deprecated feature: The traditional Node.js support on Apigee Edge Cloud, as described in this topic, is deprecated. For details on the deprecation, see the Deprecations and retirements page. This feature will be retired in the future.
If you are on Apigee Cloud, Apigee recommends that you use Hosted Targets for new Node.js development and deployment to Apigee Edge. For information on migrating existing proxies that use Apigee's traditional Node.js deployment approach, see Migrating an existing Node.js proxy to a Hosted Targets proxy.
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Sample code [2] describes a good example of how you deploy a custom module together with your js code to Hosted Target.
In short, place underscore under your node_modules/
node_modules/underscore
[1] https://docs.apigee.com/api-platform/nodejs/understanding-edge-support-nodejs-modules
[2] https://github.com/apigee/api-platform-samples/tree/master/doc-samples/hosted-targets/node-hosted-cu...
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