Create a CSharp Script

... that will walk all the files inside a /data directory and replace all blank spaces in filenames with under scores "_" ?

Here's a C# script that will recursively walk through all files in the "/data" directory and replace any spaces in their filenames with underscores.

using System;
using System.IO;

class Program
{
    static void Main()
    {
        string dirPath = "/data";

        if(Directory.Exists(dirPath))
        {
            ProcessDirectory(dirPath);
        }
        else
        {
            Console.WriteLine($"Directory '{dirPath}' does not exist.");
        }
    }

    static void ProcessDirectory(string targetDirectory)
    {
        string[] fileEntries = Directory.GetFiles(targetDirectory);
        foreach (string fileName in fileEntries)
            ProcessFile(fileName);

        string[] subdirectoryEntries = Directory.GetDirectories(targetDirectory);
        foreach (string subdirectory in subdirectoryEntries)
            ProcessDirectory(subdirectory);
    }

    static void ProcessFile(string path)
    {
        if (path.Contains(" "))
        {
            string newPath = path.Replace(" ", "_");
            File.Move(path, newPath);
        }
    }
}

This script uses System.IO namespace to work with files and directories. With the method Directory.GetFiles(string path) it retrieves all the file names in the specified path and by Directory.GetDirectories(string path) it gets all the subdirectories for a specified directory, it's used to go thru all layers of directories inside the dirPath.

Before running this script, please make sure that the /data directory exists, and the program has full privilege to read and write files under this directory.

Resource: File and Stream I/O - Microsoft Docs