Avengers: Infinity War - EVERY Soul Stone Theory Ranked Worst To Best
5. Gamora's People Had It

Thanks to another theory on Reddit, the Soul Stone was in the possession of the Zen-Whoberis - the race of aliens that Gamora initially belonged to before she was "adopted" by Thanos and turned into a weapon.
The theory suggests that the sequence in Infinity War showing that "adoption" isn't just a means to fill in that particular story: it is, rather, a means to show that her people had the Soul Stone and were wiped out for not giving it up to him.
That's how Gamora is so aware of his singular desire for the Stones. The explanation is at its most compelling here:
"Also, one thing I've noticed about he Russo Brother's Marvel films is that they are very precise and to the point. They don't have scenes that don't drive the plot, and they use flashbacks to show something that ends up being really important to the main plot right at the very end of the movie, like Steve/Bucky "with ya till the end of the line" in Winter Soldier or the Stark family flashbacks in Civil War. That's why I think this flashback is more significant than simply showing Thanos and Gamora's relationship."
Response
It would certainly fit with the Russos' approach to story-telling and it's not like this couldn't also fit with another theory explaining more precisely where the Stone is now. And that's not to mention explaining why Thanos - a villain compelled to kill only for the universe's own good - would wipe out a whole people.