Regular PEX pipe can handle the expansion and contraction of freeze thaw cycles very well, but the fittings or connections themselves can be another story. If you can figure out a way to connect PEX at your well deep enough underground to where the end connection will never freeze and then run the pex in a shallow trench or in a shallow conduit all the way to your home you might be able to create a workable setup that's reliable. I'm not sure I fully understand your application though, because if the water in that shallow PEX pipe does freeze it wouldn't damage the PEX pipe but it would prevent the pipe from being used again for water until the ice inside melts.
Here are a couple links that discuss freeze cycles and PEX pipe-
The Plastics Pipe Institute (PPI) published a new technical report related to the break resistance of PEX pipe and tubing when fluid inside becomes frozen.
www.pmmag.com
How many times can PEX freeze before bursting? And what temperature will it only take once? Learn more here.
heatinghelp.com
If you want to make a setup that can be used at any time year round for running water you will probably instead want to look into a setup that allows for gravity drainage of the water from the pipe leading to your house after each use.The general principal the following link shows is where my mind would be going if I was wanting to achieve the goal you want.
Make watering your lawn or garden easier with an outside faucet. Stop lugging around that hose and learn how to install an outdoor faucet.
www.familyhandyman.com
Something where you turn the water on at the well and it begins flowing through the pipe to the home, but when you're done you turn the water back off at the well and then open a valve buried maybe a foot or so underground (it just has to be the lowest point in the system) and let the water drain out of the pipe by gravity into a small dry well so the pipe is left completely empty and ready for the next time you need water at the home. You could improve on the basic design by adding a handle for the gravity drain that extends above ground (maybe something similar to a water meter shutoff key handle) so you can easily open and close the drain valve from above ground. Depending on how complicated you want to get, that drain valve could even be operated from within the home with a little 12vdc power and a solenoid valve.
You might want to look into how frostproof yard hydrants work as well. They protect themselves using the same principal of letting the water drain out of the hydrant as soon as the water flow is turned off. That might get some workable ideas flowing for you.
There are all sorts of ways you could go with this depending on your specific needs and situation, but if you're not emptying the water from the line after each use you will always be dead in the water whenever there is frozen water in the pipe.
