Not quite. In FAT file systems a deleted file is identified by the first byte of the file name being altered to 0xE5. This isn't an underscore, but it isn't a character allowed in file naming, so is shown as an underscore.
In NTFS file names are changed (in a totally different way) when a file is sent to the recycler. Unfortunately the OP hasn't given any information to show what the problem really is.