As the title suggests, I aim to propose that perhaps, the Nether truly is underneath the Overworld...
Not in the physical sense, but in the Dimensional kind.
Considering the fact that the usage of Ender Pearls results in the user quite literally jumping through a Pocket Dimension with occasional Endermite stowaways, It isn't that far fetched to assume the Nether, As a Dimension, is under the Overworld in this Cosmic pancake stack.
The End could be at the top or completely around the stack of Dimensional Pancakes, Both are possible.
This kind of proposal dodges the cheap argument of "Dev statements" while still fulfilling the idea the Nether is under the Overworld.
The "We Need To Go Deeper" could refer to deeper as in going further down the Pancake stack.
This headcanon could go even deeper and that the End might be Purgatory and is actually in the middle of this Pancake stack, but Nether Portals simply skip past that layer.
Again, this is all simply a strange headcanon that can hold some salt and water

