Beneath the lava you now stand on are perhaps dozens of caves. As lava flowed, the top surface cooled first due to contact with air. A hardened crust formed. Meanwhile, rivers of lava continued flowing below, periodically breaking through the crust to form the spatter cones you saw earlier. When the flows ceased, the remaining lava drained out the downhill end of the crusted-over channels, leaving behind tube-like caves.
Most of these caves were sealed with hardened lava and have no openings to the surface. A collapse created the opening you see here.
Jamie Frees, Northern Arizona University Anthropology Laboratories