Marx tunnels are very commonplace items, except this one. This is quite rare! I have never actually seen this tunnel, but it is one I'd like to add to my collection.
Obviously, this is a camouflaged litho so common sense would suggest that this was from a military set however, I have found 1940 catalog pages showing this for sale with a Pennsylvania Coal Train and in an accessory set with a tower, semaphore, and crossing signal.

(I swiped this picture from the internet)