When they first appeared there was some speculative debate around whether they had landed on the surface or grown out of it. I don't know if a conclusive answer was ever found.
I call them corridors, maybe passages, but not caves.
 
The only cave like structures are made by the Devs and planted on planets as the planet creation software doesn't do hollow enclosed spaces, so they will be rare.
 
Except of course for those bugged planet surfaces where you find yourself inside the large hollow enclosed space that is the planet. ;)

(Have not come across one in a long time though.)
can someone point me to a system that has a planet as described by the fellow commander? the alien bases are very interesting but the creatures are respawn forever and I did not adapt to live with them.
 
There was (and perhaps still sometimes is) an old bug, where if you hit the surface of a planet at high speed, you'd glitch right through the surface and be able to fly around "inside" the hollow planet. Kinda boring, since there's nothing in there but empty space and you can't enter Supercruise so have to fly around at normal-space speeds, and when it happened you needed rescuing by FDev because trying to punch back out through the surface again almost always destroyed your ship.

These days, the only way to get yourself trapped inside a planet is to fly into the path of a planet's orbit, log off, then time your logging-back-in-again to coincide with the arrival of the planet in that exact same location. Same result (getting trapped inside a giant hollow ball, needing to be rescued by FDev) but quite tricky to replicate, and almost impossible to do by accident.

So, not really a "cave" in the conventional sense of the word.
 
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