Concrete Donkey can be deployed in Cavern levels
From Worms Knowledge Base
It is possible to use the Concrete Donkey in a Cavern level despite other Strike weapons - Air Strike, Mail Strike and Sheep Strike - being automatically disabled in Cavern levels. As Cavern levels do not have the artificial barrier at the top of the map introduced in Worms 2 onwards, using the Concrete Donkey has no ill effects on gameplay, other than obviously pissing off any human opponents you may be playing against.
A video demonstration of this glitch can be seen here.