Question: I thought it would be so because the mass inside the earth would attract us however they would be at a larger distance than masses on the surface of the earth.

For example, consider having a tall building near the object. Would the effective force vector of the object be pointing into the center of the earth or deviated?

Answer: 
The force vector would only point towards the centre of the Earth if it were spherically symmetric and non-rotating (except perhaps at the equator or poles). There are significant deviations from this and local gravity can deviate by tenths of a degree from a line towards the centre of the Earth.

e.g. see <https://www.wolframalpha.com/widgets/view.jsp?id=e856809e0d522d3153e2e7e8ec263bf2>

I believe that the rotational effects (which are easily predicted) are usually somewhat bigger than the effects caused by local geography.

These deviations were used historically to estimate the [mean density of the Earth](https://en.wikipedia.org/wiki/Schiehallion_experiment) by Neville Maskelyne among others, who used the deviation of a plumbline caused by the mountain Schiehallion.
The assumption that the force of gravity points to the center of the earth is based upon the assumption that its center of mass is the center of a sphere, I.e., the earth is spherical and of uniform density. 

But since the earth is flatter (not a perfect sphere) there are some deviations in the direction of gravity because of that. Variations at the surface (mountain ranges vs plains near sea level) means it’s mass is not perfectly spherically symmetric and the distance to the center varies slightly. Those factors can theoretically result in very slight deviations in the magnitude and direction of gravity.

Hope this helps.