"We live there."
那里 means there. 哪里 means where. Also, 那 means that. 哪 means which.
One is "there/that" (那） and the other is "where/what?" （哪） 。 Just imagine that the Lil nose on this is Like a question mark
Unless there is something else behind the verb (a time duration for example) it's more natural to put the place "object" of 住 behind it.