In NYC, I notice the underground subway stations are also really hot. The subways use electricity (no combustion engine), so there may be something going on other than the cars causing it.
The subway itself is extremely poorly ventilated and all the cars are air-conditioned down to frigid temps (probably to make up for the ridiculously hot subway stations) -- the waste heat sucked out of the cars just gets dumped into the tunnels and the trains act as pistons to shove the hot air into the stations.
The air conditioners are, to a good approximation, just pumping energy out of the train cars that would be released anyway (i.e. the 100 Watts per passenger discussed below), plus whatever power they require themselves to run. Thus it seems very unlikely to me that train car air conditioning is a substantial contribution.
One could argue that perhaps the passengers' metabolisms are increased slightly to make up for the extra heat loss due to a cooler environment. But this has got to be totally negligible with respect to the energy dumped by a stopping train.
They still produce heat, quite a lot of it, both accelerating and braking. Also, don't underestimate the heat produced by people - even in the dead of winter large concert halls will be running air conditioning, not heating.
A common rule-of-thumb is "100W per person" I think that's probably slightly high, but it's in the right ballpark. If you're standing in a crowd, you should expect that it'll be as hot as if every person was replaced with a 100W lightbulb.
There's a few reasons for that, one is due to steam pipes below ground, another is due to the AC units on the subway cars, I believe (its been a while since I read the math) that they put off as much heat as breaking from a full stop does, but they do it continuously. Finally breaking is a big factor but that only happens once per station and I believe the heat given off is comparable to only a fraction of what the AC units give off when stopped in the station. Finally, there's the poor ventilation that doesn't allow the air to circulate very well albit it is somewhat nice in the winter since then the station is warmer.
You would have to show that heat transfer between air and rock is higher than that between air and concrete. Without knowledge of what kind of concrete and rock are involved, it's hard to say something definitive. However, looking at http://www.engineeringtoolbox.com/thermal-conductivity-d_429..., it seems "rock, solid" can have a much higher thermal conductivity than "concrete, dense" (and, as I expected, specific heat is comparable, as far as I can tell from http://www.engineeringtoolbox.com/specific-heat-solids-d_154...)
What also may help is higher tunnels. Temperatures near the ceilings of those tunnels will be quite a bit higher than at floor level. Stockholm might just have more high ceilings.
One subway car weights about 30 tons empty, breaking from 15 m/s (~60 kmh) to a full stop it converts almost all its kinetic energy into heat so each car produces 15^2*30000/2 ~ 3MJ at every stop.
An interesting thing is that many subway systems recover some of the kinetic energy by converting it to something more useful than heat.
Some subways, for instance London's, are built with uphill slopes prior to stations, so that part of the kinetic energy is converted into potential energy.
Many subways use regenerative electrical braking for part of coming to a stop, i.e. the kinetic energy is partially converted to electric energy which is used by other trains on the network. Some subways increase the efficiency of that by having storage, for instance a large battery, in stations.
Most subways have air conditioners on the trains which expel heat into the tunnels, thus making them hot. Before air conditioning was introduced to the Boston subway system, the cars had little vents that pulled cool air into the trains when the cars were underground, but with the advent of air conditioning, the trains stay cold at the expense of the tunnels and stations.
Why on earth would it matter if they use combustion or electricity? Internal combustion engines are pretty efficient. They're not as efficient as electric engines but the amount of energy burned is well within an order of magnitude.
Electric engines can easily be above 90% efficiency. ICE's are around a third of that -- since they're Heat Engines, Carnot's Theorem even gives a theoretical maximum efficiency.
So yes, an ICE will have an order of magnitude more waste heat. That's why a car engine requires liquid cooling to avoid destruction but a similarly powerful electric motor only has a small fan to keep air running over the windings.
I'm not sure how good a model a heat engine provides for internal combustion. A heat engine assumes a fixed "working fluid" operating between heat reservoirs. In an internal combustion engine, there isn't strictly a "working fluid", since air and fuel are continually added, and exhaust vented away, and combustion adds energy without providing exactly a "heat reservoir".
Why are you talking about waste heat only? Work energy degrades to heat too. The total amount of heat created is equal to the total energy used by the system. ICEs need three times as much energy to do the same work, so they output three times as much heat. This would be true even if electrical engines had 100% efficiency.