It’s a wonder I bother renting movies

Another incredibly elaborate SF movie dream last night. The premise: Three friends driving home late one night try to take a shortcut. They take a wrong turning and enter an unmarked tunnel. It seems to be unfinished construction work. They reason that it must come out somewhere, and decide to follow it. After a long while, they are surprised to find some kind of checkpoint, like the US-Canada border station, where they can park their car and enter… where?