Problem solved.
First, create a custom.css in _static/css/, then mark it in the conf.py: html_css_files = ['css/custom.css,']
Second, in the rst file:
.. role:: underdot
:class: underdot
This is a test for underdotted text inline :underdot:`underdotted text`
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Here is the custom.css file:
.underdot {
text-emphasis: dot;
text-emphasis-color: #ff0000;
text-emphasis-position: under;