Well, it says:
Data folder is: /usr/local/sharehttps://openxcom/
and there is an UFO folder in that folder containing the game data.
It works perfectly fine with the normal nightly (Ubuntu package) like that - no worries, I removed that before building OXE.
I just wanted to get Piratez to work on my Ubuntu (there is no prebuilt download for OXE that I could find), but it seems that is out of the question for now.