If you dig deep enough in the sand, you'll come out in Australia
Here (US) it was 'dig straight through to China'. One day my little friends and I were busily digging under the big tree in our backyard. We hit a root and my older brother told us it was the devil's horn and that if we kept digging we'd dig through to hell. We believed him and ran away. I made my dad go and fill in that hole so the devil wouldn't get out. To this day it seems to me that we'd dug really deep, but I expect it was probably only 2 feet or so.