It's not that you can't do it, it's that compared to the loot you get UD generally isn't worth it. Underground snow weapons (flinx staff, snowball cannon, ice blade) are stronger than the UD weapons. UD is harder than even the underground jungle, and the jungle has better weapons as well (Boomstick, amazon, thorn chackram). Bone throwing knives are the only weapon that can compete with the weapons mentioned earlier and making fossil armor means you get 1,800 less of those. Whenever I rush UD I feel like I never have enough fossils to spare for the armor after making knives and a pick.Frostburn arrows with a high tier wood bow is enough for UD, especially on Expert. From there you get PLENTY of desert fossil to mine, and they can even be mined with Copper pickaxes (Pots in UD also shower you with Scarab Bombs). You can also get Fossil Pickaxe that way, which is apparently slightly faster than Gold/Platinum Pickaxes while having the same mining power.