It is actually expected.
A dockerfile is nothing more but a wrapper on docker run + docker commit.
FROM ubuntu:12.10
RUN mkdir tmp123
RUN cd tmp123
RUN pwd
Is the same thing as doing:
CID=$(docker run ubuntu:12.10 mkdir tmp123); ID=$(docker commit $CID)
CID=$(docker run $ID cd tmp123); ID=$(docker commit $CID)
CID=$(docker run $ID pwd); ID=$(docker commit $CID)
Each time you RUN, you spawn a new container and therefore the pwd is “https://stackoverflow.com/”.
If you feel like it, you can open an issue on github in order to add a CHDIR instruction to Dockerfile.