I have never heard of a person not passing his medical due to his weight.
If you have higher then 35 BMI then you have to do more extensive cardio evaluation and probably to check if you fit in the cockpit.
Now if you are underweight the only thing that I can imagine would be a problem is:
1) That you don't suffer from low blood pressure.
2) That you have enough strength to operate the aircraft.
I remember a pilot from India that was training at the same flight school as me. He had very low BMI and also not much strength.
He was doing his cross-country and was going to do a touch and go at an airport. When he touched down, the aircraft was a little bit out of trim and when he added take-off thrust he did not have sufficient strength to handle the situation resulting in that one of the landing gear hit a stone wall and fell off.
Basicly I think that you don' t need to worry that much about the BMI but strengthen your arms to be able to pull and push. The strength in turning is not that imprtant unless you are flying a jet with hydraulic problems.