However, the two detectors that make up LIGO are oriented differently. In addition there's the VIRGO detector in Italy and more detectors being built.
With multiple detectors you can not only measure in different orientations, but also consider the difference in detection time between the detectors. So by combining data you can really narrow it down.
You can see an example of that in the first image in this article[1]. The light green band is the most probable event area using LIGO data only. The dark green circle is the combined VIRGO + LIGO data. Note how the LIGO only data can't tell which hemisphere the signal came from, but the addition of the VIRGO data allows them to figure that out.
The blue bands/circle are the optical measurements.
[1]: http://public.virgo-gw.eu/ligo-and-virgo-make-first-detectio...
Drilling down 4km would be quite expensive, especially since you need a large mirror assembly[1] and vibration isolation system[2] down there. The mirror assembly and vibration isolation systems would also have to be of a different design, further increasing cost and complexity.
As far as I know the problem then is you'd have to bounce the light even more to compensate, and for each bounce you lose some light. Say you drilled "just" 1km down. To compensate you'd have to bounce the light 1200 times. Say the mirrors reflect 99.9% of the light. After 300 bounces you still have 74% of the light left, but after 1200 bounces that's down to 30%. And that's only the reflection loss, then you got beam spread etc.
So why not just increase the laser power to compensate then? AFAIK, increasing laser power means increasing laser noise, so that would ruin your signal to noise ratio.
In addition, the shorter arm means you'll be even less sensitive to longer wavelength gravitational waves, regardless of the number of bounces. The LISA mission was supposed to use satellites flying 2.5 million km from each other, to be able to detect really low frequency waves.
There are angles where the detector are less effective, but your aim is not to have perfect coverage, it is to detect them.