That’s not an ominous looking tunnel at all.
On their trip to low-town, the sedan drives into a graffiti covered tunnel.
Episode 4 features a brief scene of Sharon making a phone call while walking through this tunnel.
Many viewers may recognize this famous graffiti covered tunnel in Atlanta, as the Krog Street tunnel, specifically the DeKalb Ave NE entrance.
(The Falcon and The Winter Soldier S01E03 & E04, 2021)