Would the great pyramids have been a good way to refine oil and gas if they were on top of a well?

No, not at all, for that you need fractionating columns, in one shape or the other. The pyramids are just stones stacked on top of each other, there is hardly something more mystical on than what it does with your perception when you stand in front of it. And it has no function in it, that permit it to distill oil or gas.