There's probably a very easy answer, but I can't think of it at the moment. There are some options, but none of them are without faults. For example, instead of using the normal superscript, you could use the Open Type Superscript/Superior, which leaves the underline at the baseline, but none of the Open Type fonts I have open at the moment have a full set of superscript glyphs, so some letters won't appear superscript even when it's applied.
There are also the old trick of inserting a white space of one sort or another with underline applied to it after a non-underlined superscript and kearning the underline under the superscript, but that's not something you can count on displaying correctly if text should change in some ways.
A paragraph rule will work if your paragraph doesn't go into multiple lines, but that's not usually what you need.
You can custom-anchor a line to the text, which works pretty well if everything is on one line, but won't work well if there is a line break.