I never tried using an underscore since elision between two words is normally slurred in a score. I've never sung an opera in Portuguese but would be surprised if the rules were different than Italian in that regard.
With Italian, there are three ways to handle an elision but using an underscore is not any of them. One is to write two syllables as one—this is done when both are in the same word (no formatting is required for that, of course). The other two are used to a) connect the words with a slur and b) to leave a space while the two are assigned to the same note (I won't go into what applies when). Anyway, here's how to do both:
An elision is when two or more syllables are sung under the same note, such as in a folk song, chant or foreign language. Because Finale advances to the next note if you enter a space, you’ll need to add a hard space between the two syllables. You can also use this method to place verse numbers with the first syllable.
Choose Lyrics > Lyrics window. The Lyrics window appears. If you prefer, choose Lyrics > Type into Score. Type the lyrics in the usual way, up to the elision.
Type the first syllable and press OPTION+SPACEBAR to insert a hard space. Continue by typing the next syllable, which will be attached to the syllable before it.
You can also insert a hard space by choosing Text > Insert Hard Space.
Complete the remaining lyrics with the same method. When you enter these lyrics using the OPTION-click assignment method (see Lyrics), Finale distributes the syllables you just created to the corresponding notes of the melody, but treats the elision as a single syllable.
Choose Lyrics > Lyrics Window. The Lyrics window appears. Type the lyrics in the usual way, up to the elision.
Type the first syllable. Without adding a space, type a capital I, then the second syllable.
Drag to select the I. Choose Text > Font. Choose EngraverFontSet and click OK. Complete the remaining lyrics.
Click OK. When you enter these lyrics using the OPTION-click assignment method (see Lyrics), Finale distributes the syllables you just created to the corresponding notes of the melody, but treats the elision as a single syllable. A slur will appear between the two syllables."
If you select the I, it should stay selected while you go to the TEXT menu. Yes, I know you’re working in lyrics, but the text menu is available as well.
Another way to do it is to use an upper-case X instead of the I. Unless you’re writing about Xerxes, you shouldn’t need them in the lyrics. Enter all the lyrics, and then use Text Search and Replace to change the X to the elision, all at once. More complicated, but that’s how I used to do it.