I have a DB called:
MY_XXXX and MY_YYYY.
When I go to the phpMyAdmin, it shows in the tree structure…like this:

So, my questions is, is the MySQL or the phpMyAdmin do this things for me…? Is this have some special meaning for that? Thank you.
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This is phpMyAdmin making a (sort of reasonable-ish, a bit, actually largely un-warranted) assumption about a naming convention – it’s nothing to do with MySQL.
If your looking for more information on such things – see the MySQL Schema Object Names documentation. (As you’ll see – it defines no special meaning to the underscore other than stating that it’s considered a valid character.)