Mexican Satan, revealed to be a Blue Spy in disguise, used the underwear for "Illuminati magic". This cursed Robotnik, Vegeta, and Sanic, turning them into zombies and sending them to jail (and eventually "Pizza Hell").
After Night 5, the museum is shut down due to a "mysterious disease" that turns people green and causes them to suck on people's underwear. Five Nights at Pingas 3
The deeper plot stems from events either during or before the first two games in the series: Mexican Satan, revealed to be a Blue Spy
Unable to fulfill the quota, Robotnik tried to trick Mexican Satan by giving him his own underwear instead. Five Nights at Pingas 3
Robotnik attempted to sell underwear on eBay. A figure known as Mexican Satan offered him immortality in exchange for 666 pairs of underpants.