There is not particular place that Grand Soul Gems exist. Depending on your sneak skill, the lady in the upper part of the Balmora Mage Guild (the one with the scary voice) has them. Don't try to have her enchant them though, she tries to kill you.

The lady upstairs in balmore mages guild only has 1 grand soul gem, it already has a winged twilight soul in it though, so you cant use it to capture souls. you have to raise your luck to at least 50 then go searching caves for grand soul gems, you'll find at least 1 per cave.

Ald Sotha Shrine Aryon's Chambers, Tel Vos Bal Fell Inner Shrine Behind a Barrel Near a Skeleton, Hanud Carried by Felen Maryon, Therana's Chamber, Upper Tower, Tel Branora Carried by Goris the Maggot King, Venim Ancestral Tomb Carried by Nevena Ules, Ules Manor Cabin, Derelict Shipwreck Desk Near Lloden Tenim and On Top a Pillar, Maelkashishi Shirne Guild of Mages, Balmora Hall of Fyr, Tel Fyr Menas' House, Tel Uvirith Near Draryn Andrano (Look up), Zebabi Near the Bells, Salmantu Shrine Near the Daedroth Menta Na, Kora-Dur Omavel's House, Tel Uvirith Redoran Trader, Vivec Seleth's House, Tel Uvirith Small chest, near Navil Ienith, Dren's Villa, Dren Plantation Tel Naga Great Hall, Sadrith Mora Telvanni Vault, Vivec Tower, Ald Redaynia Tower Services, Tel Mora Underwater, Dun-Ahhe West Wing, Gateway Inn, Sadtrith Mora Random Loot in Various Locations (If you are level 15 or higher) THESE LOCATIONS FOUND FROM THIS WEB LINK: http://morrowind.ttlg.com/spoiler/faq/soul_gems.shtml

Grand Soulgems: Though GSG's will start showing up as random loot round about level 15, these are the known locations where you can find them at any level. Trunks2603 and Sorcerous Nord Ald Redaynia,tower - on the table next to the Bitter Cup Ald Sotha, shrine - on the offering plate Ball Fell, inner shrine - on the chest in front of Sheogorath Balmora, Guild of Mages - on Galbedir's table (filled) Derelict Shipwreck, cabin - by skeletal remains Dren Plantation, Dren's villa - in small chest Dun-Ahhe - next to skeleton on rock above water Hanud - behind the barrel a skeleton is leaning against Kora-Dur - on a plate Maelkashishi, shrine (2) -one is obvious, the other is on the fire pedestal near Sheogorath's Sardith Mora, Gateway Inn, west wing - on the table Sardith Mora, Tel Naga, great hall - on a table in one of the alcoves downstairs Salmantu, shrine - in one of the sixth house troughs Tel Fyr, Hall of Fyr (2) - (very easy) on shelf Tel Mora, tower services (3) - look up high above Salam Andrethi's head for two of them. Tel Uvirith, Menas' house - only after a stronghold built Tel Uvirith, Omavel's house - only after a stronghold built Tel Uvirith, Seleth's house - only after a stronghold built Tel Vos, Aryon's chambers - on a ledge behind and above Aryon Vivec, Telvanni vault - on a table Vivec, Redoran trader - on shelf (he will sell it to you) Zebabi - on a bench in hidden alcove above Draryn Andrano On the following NPC’s: Felen Maryon, Tel Branora, Upper tower, Therana's chamber (also sells the summon GS spell) Nevena Ules, Ules manor Goris the Maggot King, Venim ancestral tomb Npcs would have to be killed or pickpocketed to get their gems.