Horizontal drilling is already part of the plan in many places - Elon Musk isn't the first person to think of it. It still costs loads to do it per mile - by the looks of it you'd have six bores with three cables each (or one or two much larger bores). And a deep, concrete-sheathed cable is a huge pain to maintain compared to cables around 1-3m underground.
Which is not to say they don't use TBMs - they do, but it costs a lot - this is a 200+ million project to put 3km of cables underground: https://www.nationalgrid.com/media-centre/press-releases/tun...