“What happens when Classical Music misses its subway stop and gets off at Improvisation?’’ That’s how New England Conservatory set up Tuesday evening’s “Mahler in Chinatown’’ installment of its “Mahler Unleashed’’ season. NEC faculty member Anthony Coleman recalls having read that Mahler, in his Metropolitan Opera years, used to go to Chinatown with bass Feodor Chaliapin to drink Chinese tea. At Jordan Hall, NEC’s faculty and students were of a mind to take Mahler’s music to many different subway stops.