It appears that the association comes from Capricorn being associated
with the underground. Also there seems to be a connection from the
coal mining industry because Capricorn men are viewed as ideal for the
coal mining industry.
Selected Research Sources:
From the book "Planets and Possibilities: Explore the World of the
Zodiac Beyond Just Your Sign" by Susan Miller, on page 351 she talks
about the idea that "Capricorn rules caves and things buried in the
earth too. Be an excavator, gemologist, geologist, mineralogist, coal
miner, or stone mason".
From the book "Astrology for Everyone: What It Is and How It Works" by
Evangeline Adams, on page 105 it discusses the idea that Capricorn men
are proficient as manufacturers, bulders, miners, foresters, and real
estate dealers. It also states that "Saturn, the ruling planet of your
sign and he most influential factor in determining your choice of a
profession favors the more work-a-day activities such as plumbing,
undertaking, mining, dealing in coal or lead."
From the book "World Horoscope Hebrew Astrology" by Sepharial, the
quote "Capricorn governs trading conditions, politicians, especially
those holding governmental positions, coal, lead [...]" (page 53).
I hope that you will find this explanation to be satisfactory in
answering your question.
All the best