Where djinn live is very hard to pin down. Traditionally they are said to live in hidden our out of the way places, such as ruins, wastelands, pits and holes, etc. They are often associated with filth and unclean places. Indeed, there’s an old tradition that one should not piss into holes because djinn like to live in them, and a djinni you just pissed on is unlikely to be very forgiving. For the most part, djinn move amongst us unseen, and there are many precautions to be taken because of this.
But djinn are also associated with the underworld. Not quite hell, but definitely some sort of underground abode. In folktales they often dwell in magical caverns, where they store their vast riches in underground palaces. Such locations tend to have a phantasmal, otherworldly nature. Similar traditions exist for the Persian peri, who we’ll get to in a bit.
There are also some references to Jinnistan, an entire otherworld beyond our own. Descriptions of it are vague. Middle Eastern folklore abounds with tales of strange lands, but which ones were thought to lie in the real world and which were not is somewhat unclear. The only solid tradition I’ve ever heard of regarding Jinnistan is a Persian one that says it lies beyond the emerald mountains that surround the world. Whether this is a metaphorical boundary, a mountain range covered in lush greenery, or a literal mountain range made of vast gemstones is anybody’s guess. Take your pick.