The Straight Dope has a thread with examples of stories set on just about every shape of planet imaginable, including "the inside of a spherical void within infinite solid matter" (post #39) in Ring of Truth by David Lake.
That description and the very limited reviews of the book on the web (Amazon, Goodreads) seem consistent with what I remember.
However, I don't recognise the title, author or cover pictures at all. So I've ordered a copy and will update this to confirm whether it's the right book.
(The hollow sphere idea is mentioned on page 102 of Science Fact and Science Fiction: An Encyclopedia By Brian Stableford, with other examples, but they seem less likely.)
Edit: I've read it now, and it was the book I was thinking of. It is a 192 page sci-fi novel, not a short story. It has some nice alternative physics that seems consistent and somewhat plausible. The fact that they are in a sphere is a plot spoiler.
The characters are not initially aware of the shape of their world and, although there are clues for the reader to guess, it isn't revealed to the characters until the end. The plot follows a prince with wanderlust who is initially tutored with the current state of knowledge about the world and then goes on a quest to find out more. Gravity works by light being repellent (rather than masses attractive) so, for example, you weigh less indoors and at night. However, they use other means to achieve flight.