Where does the god Gozreh live?
His alignment suggests purgatory, but his flavour suggests he would prefer a more natural environment.
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Good question! Gozreh is said to dwell "at the horizon, where the sea meets the sky" (Gods and Magic, 18). As a result pathfinderwiki.com lists his/her home as the Material Plane. In his/her more full article in Pathfinder #38, Racing to Ruin, it only notes "Many cloud and storm giants are native to her planar realm," hinting that there is one, but this is a throwaway line not expanded upon.
The Inner Sea Gods hardback is also a great source for detailed information on Gozreh and all the deities. It states "Even the few deities who live in the mortal world (such as Gozreh, whose realm includes any natural place,..." which confirms that the Wind and the Waves dwell here in the mortal realm, wherever there is sky or sea.
Now if you're asking where Gozreh's faithful end up after death that's a different thing, and the answer is usually complicated, see How is it determined which souls end up in Hell, the Abyss or Abaddon? for more on that. They would generally go to their alignment-tied planes except in specific cases I'd think.