Probably they do.
I have seen photos of intermittent dashed-line "rilles" that have been identified, at least by some, as lava tubes with collapsed sections. Similar features have been identified as possible lava tubes on Mars. The collapsability implies that the tube is indeed hollow. A search on the subject of extraterrestrial lava tubes shows great interest in their use for manned bases. If stable, they certainly would solve a lot of problems, not the least of which is radiation shielding.