As the Prophets are non-linear, it's likely they've always existed in the Celestial Temple. Why the Temple manifests as a wormhole for the purposes of interacting with our universe isn't clear, but there's no reason to believe the Prophets would have lived anywhere else. They're non-corporeal entities, so normal rules of existence don't apply to them.
It was definitely stated in "Emissary" and "In the Hands of the Prophets" that the wormhole was artificially constructed, so I don't see that it could be their natural habitat, so there must have been a place they lived before - at least as far as what "before" means to a human.
They are able to perceive time, just in a non-linear way, so I guess instead of asking them "where did you live before," I'd ask "where else do you exist?"