I don't think it can be done, as once built it's not seen as a road made of individual squares, but as one single building.
I know someone in BlackLiquidTeam tried something like that for bridges and it couldn't be done, as both start and ending point have to be valid pathing points, so you couldn't build them by segments.
Then they came up with the dock sets, which goes around the problem by having individual little "dock" buildings that you can set up in any direction anywhere over the water.
Don't think it can be done for tunnels in the same sneaky way though, but I'll ask. Maybe some segments could be built and placed separately under mountains so you'd place 4 straight bits and one cross section. I kinda suspect it's either not possible (builders couldn't reach the spot), or pathing through those buildings wouldn't work well.