For whatever reason, it appears some water is leaking out of your WH when everything is off. On an electric WH, if water doesn't fully cover the upper element once you turn things on, you'll quickly cause it to overheat and die. So, if nothing else, you'd want to open a hot water valve and wait for the flow to become stable without air prior to turning the WH back on.
As water changes temperature, it will either expand as it gets hotter, or contract as it gets colder. Depending on the actual temperature change, that operation by itself could create a vacuum in your system once you turn things off and suck in some air from the weakest seal. Opening the well back up won't displace the air unless you open a valve in say a sink.
Do you have a bladder, storage tank? With an artesian well, I'm not sure about the typical arrangement. If there is one, that will act like an expansion tank. IF there is none, then you'd need one if there's a check valve anywhere in the system to help prevent pressure spikes when the WH runs.