You can, but cooling the line means cooling far more than just cooling the train cabins - passengers only accounts for something like 5% of the heat dumped into the underground, the vast majority is things like braking. And so costs of standard AC is an issue.

You also need somewhere to dump the heat, and part of the problem is actually that even re-opening existing vents is tricky and/or costly to do when many of these lines for most of their distance are 20m below some of the most expensive real-estate in the world.