THIS ... IS ... FORTRESS!
Python 3.6, 159 131 128 bytes

1 byte saved thanks to @Zacharý

3 bytes saved thanks to @VаlueInk

28 bytes saved thanks to @Rod



lambda s:len(s)&lt;2and f"&lt;i&gt;{s}&lt;/i&gt;"or s[0]==s[1]and"ℂℍℕℙℚℝℤ"[ord(s[0])-65]or[f"&lt;b&gt;{s[0]}&lt;/b&gt;",s[1]][s[0]=='_']


Try it online!