More links: I first read about the well in Peter Finch's Real Cardiff. It is also mentioned in Roath - Extract from "A Topographical Dictionary of Wales"by Samuel Lewis 1833. Even more marvelously though, from The Haunting of Glamorgan and Gwent:
In the early 19th century Penylan Well (at Twgwyn Farm) was said to be haunted by a Lady in Black who could frequently be seen there wailing and moaning. Eventually a man stopped and spoke to her. She told him that if he held her by the waist and remained silent whatever happened, she would be released from bondage (it being thought that the firm hand-clasp of a 'pure-minded' man could do this for the spirits of the departed - as could the kiss of a new-born baby). The man did as he was asked and put his arm around the woman's waist. Almost at once, however, he felt a sharp, stabbing pain in his arm and was forced to let go of her. The Lady in Black fled in horror, screaming that it would take her another two hundred years before she could again be freed.
Two hundred years from the early 19th century would be (drum roll) just about now. Perhaps we should start a preemptive 'pure-minded' waist grabbing campaign, purely as a precautionary measure.