This was claimed (though referred to as a hoax by one of the characters) in a recent XKCD comic:
Did Soviet miners drill a hole to super-hot cavern where you could hear screaming?
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This was, indeed, a hoax.
The real drilling was Kola Superdeep Borehole.
They didn't encounter any super-hot caverns (though the temperature reached a much higher than predicted 180 degrees C). There's no record of it ever being super-hot (the hoax claimed thousands of degrees) or emitting tortured screams.
The documentation included tracing first mentions of the story that were traced:
he story was reported to first have been published in 1990 by a Finnish newspaper 'Ammennusastia', a journal published by a group of Christians from Leväsjoki, a village in the municipality of Siikainen in Western Finland.
The story eventually made its way to the American Trinity Broadcasting Network (TBN), which broadcast it on the network, claiming it to be proof of the literal existence of Hell.