Heterostructures of van der Waals bonded layered materials offer unique means to tailor dielectric screening with atomic-layer precision, opening a fertile field of fundamental research. The optical analyses used so far have relied on interband spectroscopy. Here we demonstrate how a capping layer of hexagonal boron nitride (hBN) renormalizes the internal structure of excitons in a WSe₂ monolayer using intraband transitions. Ultrabroadband terahertz probes sensitively map out the full complex-valued mid-infrared conductivity of the heterostructure after optical injection of 1s A excitons. This approach allows us to trace the energies and line widths of the atom-like 1s-2p transition of optically bright and dark excitons as well as the densities of these quasiparticles. The excitonic resonance red shifts and narrows in the WSe₂/hBN heterostructure compared to the bare monolayer. Furthermore, the ultrafast temporal evolution of the mid-infrared response function evidences the formation of optically dark excitons from an initial bright population. Our results provide key insight into the effect of nonlocal screening on electron-hole correlations and open new possibilities of dielectric engineering of van der Waals heterostructures.