It depends, if it is dirt cheap. If you only build one, the tech for the card that reduces its cost is boosted by building an Encampment. So if you only build one, because you need it, you're probably building it without the card, and the card would only come for the buildings at the earliest. That is unless you capture one already done.
If the question is 'is the Dam worth it' without any other specifics, I'm leaning to think that one wants to reach the victory screen - any victory screen that is - and as fast as possible, under 'standard' game speed and map size. And then we must consider which victory can be achieved the earliest and are dams any help for it.
The fastest victory is probably the religious one. Religion can be established pretty reliably with just two cities, HS is one of the earliest districts, you can get very nice pantheons and beliefs, on Pangea you can just roll, on anything else you'll need Cartography and probably more embarked movement techs and possibly the golden Exodus dedication, but still, I believe that a dedicated RV attempt will bring you to the victory screen the fastest most of the time. How Dams and an Encampment would help you to reach it faster? I don't see a lot of possibilities, unless the city and the HS is in a huge flood zone that keeps flooding every other turn for some reason. Putting there a respectively promoted Liang would probably be more efficient. Therefore, most of the time building a Dam and Encampment is just a waste of time and production under such circumstances. You're better off running prophet projects for faith.
Considering what's above, the world will probably be converted to your religion long before mountain tunnels will be of any help. Although Steam Power may be doubly useful, as it grants both better embarked movement and railroad building, although the first will probably be much more useful than the latter.