Yes, i dont know if its a bug. I have been from one end to the other on three large worlds and teo small ones. I even looked in the caverns to make sure. Thats why im paying for it, i literally cant get one. I have all this hellstone and obsidion with no way to smelt them.
The xbox version spawns them right above hell for some reason. My advice is to just dig a horizontal line around ten blocks above hell layer. Make sure to keep an eye on lava pits as they can spawn in those as well.