Electroreflectance spectra of AlGaN/AlN/GaN heterostructures were measured at various biased voltages (Vdc). Strengths of the internal electric field in AlGaN (FAlGaN) were evaluated from periods of Franz-Keldysh oscillations (FKOs), which were observed above band-gap energy of AlGaN. The relation between FAlGaN and Vdc exhibits an anomalous behavior, which is different from the previous results of the AlGaN/GaN heterostructure. It agrees with the theoretical result of a Poisson-Schrödinger calculation, which shows that two dimensional electron gas (2DEG) exists not only in quantum well (QW) at AlN/GaN interface, but also in QW at AlGaN/AlN interface. This is also consistent with electron-density distribution obtained by capacitance-voltage measurements. When Vdc becomes more negative, the previous mechanism of depleting 2DEG is through flatting one side of QW. However, it was found that the depletion of 2DEG can also occur when the top of valence band at surface becoming higher than bottom at QW.