According to Runeterra's universe, Nocturne doesn't even live there.

This kind of question might be more appropriate for the Story, Art and Sound sub-Board, as this is a question about the in-game universe, rather than a presentation of custom content.

To answer, Nocturne's Universe page lists his abode as Runeterra, so even if the region isn't specified, he is still indicated to live there. If you check one of Lux's stories, you'll find her fighting a creature that definitely acts and sounds like Nocturne within Demacia's borders. He's not tied to the Shadow Isles, but the new universe strongly suggests he is a demon, in the same manner as Evelynn, Fiddlesticks, Shaco, Tahm Kench and the raven entity Swain gained control over. Demons don't appear to have a fixed abode, which is why none of them so far have really been tied to a particular region.

A demonic amalgamation drawn from the nightmares that haunt every sentient mind, the thing known as Nocturne has become a primordial force of pure evil. It is liquidly chaotic in aspect, a faceless shadow with cold eyes and armed with wicked-looking blades. After freeing itself from the spirit realm, Nocturne descended upon the waking world, to feed upon the kind of terror that can only thrive in true darkness.

He is from the spirit realm, if you read your lore on the characters, you would see that it was explained why he was living in Runeterra and not cited where he lives, but, it is rumored he takes residence in Fossian's Tomb which is in Demacia.