Not sure about anyone's specific connection to Buddhism, but the band has supported and promoted the
Meridian Trust for a long time. There's a link to it on their website:
http://www.underworldlive.com/links
As mentioned in the press releases for this
Songs for Tibet album, "The Art of Peace Foundation also works with their UK partner, Meridian Trust, to preserve Tibetan cultural traditions," so perhaps that's how Underworld came to be involved in this project.