I am studying and this question came up/appeared.
And cinnamon is spot on, you can´t simply say out of nowhere: "Lisa, where do they live"? (unless you are pointing in their direction (whoever "they" are, Lisa´s grandparents, friends, enemies, teachers, siblings, colleagues, etc.)
See? just asking that without specifying who ''they" are leaves many possibilities on the table.
If you were talking with Lisa, and about her grandpares, then you could have made that question and would be understood that way. Of course.
Fact is, you use pronouns to replace something previously named/informed, or if it is inferred from the conversation/text.