Are file locations stored in PostreSQL catalog?
The config file and data directory location cannot be stored in the system catalogs, because the database cannot read the system catalogs until it knows where they are.

It's a bit like putting the map to your buried treasure into your treasure chest.

(Note that pg_settings is not technically a system catalog. It is a view that shows GUCs as configured by postgresql.conf / ALTER SYSTEM ... SET, by ALTER USER ... SET, by ALTER DATABASE ... SET, etc.)