[Iceforge]

There could be different climate zones, specially in the "lower" levels.

Why do the creatures live on the inside of this hollow planet? Well, perhaps their planet is tidal locked (might be wrong term, pardon me if it is), where the planet does not rotate along its own axis while orbiting the systems sun, in which case part of it will be permanently exposed to the sun and warmer (heat which will move through the surface and into the "lower" levels), other parts will be in permanent shadow and covered in ice (and thus colder "lower" levels)
It could also explain why they are not aware of the surface; Anybody who ever found a way there would have died pretty quickly due to the insane heat or cold they found out there.