it's not unknown. It's not inconceivable that the builders decided to construct the house over an existing well for convenience.
It would be a weatherproof source of water and would obviate any need to go outside for fresh water.
In some older homes you may find that the water well is a drilled or hand dug well located in the building basement or crawl space.
Wells located in the basement or crawl space of a building are sometimes found, usually at older, pre-1940 buildings. On occasion it appears that the well was originally outside the building but the building was expanded over it.
Early American construction sometimes located a well (or cistern) in a basement so that a mechanical hand pump could be located indoors (perhaps in a kitchen).
As for why it's dry, presumably because the water table no longer reaches that high.
In the novel it's clearly explained that the well is dry and has been for some time.
In a basement room directly beneath the kitchen was a well, long dry. Its stone rim, reinforced with modern well rings and cement, rose two feet above the sandy floor.
The Silence of the Lambs - Thomas Harris