There is a story going around (and it has been going around for centuries) that the British had an underground tunnel ...

 ... somewhere in River Road to secretly transport gold and other minerals? I heard of it many, many years ago and everyone I talked to told me it was just a hoax. Why would they need a tunnel in River Road when all the loot was first sent to the Nairobi Railway Station for onward transportation to Mombasa and England.