$str = "###Word1 Word2\nWord3\nWord4 Word5 Word6\n##Word7\n#Word8 Word9\n";
// Use preg_replace to replace the pattern with the desired format
$str = preg_replace('/#+(.*)\n/', '_$1_' . "\n", $str);
echo $str;
/*
run:
_Word1 Word2_
Word3
Word4 Word5 Word6
_Word7_
_Word8 Word9_
*/