Yeah, wikipedia cites some unspecified maritime usage of _ but it's definitely not common. It seems like most of the standards outside of programming languages have been moving towards spaces. Unfortunately there doesn't seem to be an easy way to search e.g. https://lh.2xlibre.net/values/thousands_sep/ but some lazy JavaScript shows no underscores and several flavors of whitespace:
new Set($(".value").map((idx, elem) => elem.textContent))
Set(8) [ "", ",", ".", " ", " ", "'", " ", "٬" ]
$ LC_NUMERIC=de_CH df --block-size=\'1KB
I don't know if there is a locale that uses underscore, I didn't find one when I looked a while back. Perhaps there should be...