There are a few different types of construction loans. Most cover things like land, closing costs, labor and materials, plans and permits, and both contingency and interest reserves (in case the project costs more than you planned or if you don't want to make interest payments while you are building).
If you already own the land, you may be able to get a construction loan by leveraging your land as a down payment of sorts. Otherwise, it makes no difference to the lender whether you already own the land or not.