does anyone know if it is ok to wash clay pellets in well water ???
Sure, no problem, just give them a quick rinse from distilled ph adjusted water. Even better if you rinse them with hydrogen peroxide after the well water, followed by a quick rinse in distilled or RO or whatever water is available aside from the well.
Perhaps one day when you have a few minutes, buy one of those $20 water test kits for well water analysis, you mail in a plastic test vial with the prepaid mailer, then they send you back via email or snail mail the results of the tests, this way you can see the quality of your well water. My sister has well water and we tested it, the results showed some weird stuff, so we put in a ozone in-line water conditioner before it even got to the filters she has.
Your well water might be really good and you can omit rinsing the Hydroton pellets if so.