Etymology: < Cornish huel.
1830 Eng. & For. Mining Gloss.
Wheal is an Anglicisation of the Cornish word.
It's interesting that Wiktionary's earliest citation appears to predate OED:
1829, Thomas Moore, The History of Devonshire, page 528,
The four last-mentioned mines, Wheal Crowndale, Wheal Crebor, East Liscombe, and Wheal Tamar, are on the same lode, which ranges as usual from east to west, and are included in a space of about four miles in length.
although since it contains data for 1830, it cannot have been published in 1829. The book contains a better citation in the footnote on page 527:
Wheal (or rather huel) is said to be derived from the Cornish language, and to signify a work or mine.