Hi,
normally all ':' and '_' characters are converted to '-' in the Joomla routing.
However when using the CONCAT_WS in JSitemap SQL query you should force any arbitrary character in the URLs, unless the JSitemap URL filtering is active for that field. For this reason ensure that the 'URL filter' option is set to 'No' as in the image below.
Other than that, there is nothing else in JSitemap that converts '_' to '-' and in that case the way that links are constructed and manipulated by that component router should be analyzed better.
Best regards,
John