I have quickly tried to edit terrain shader and realized you can actually cutout fragments depending on texture color to make a visual "hole". If you also add a trigger that toggles player collision with terrain, you will actually be able to do this, but in a messy way.
I have added this to the end of terrain shader:
if (outcolor.x==1)
discard;
I barely have any idea of what I did because I know nothing about shaders, but I meant to remove red fragments from terrain and it worked.
Add trigger that does this and you can walk through.
Collision:SetResponse(Collision.Character, Collision.Scene, Collision.None)