You need to set the volumes in the configuration menu. Make sure there is a dataset with permissions given to the "apps" (ID 568) user. This is the default user when setting up Photoprism. By default the PhotoPrism config and cache information will be stored in a hidden volume called "ix-applications." You can configure this to be someplace else by enabling the Custom Host Path for Photo Prism Storage option and providing a location for the config to be stored. Just remember that wherever this location is, it will need the "apps" user to have full access.
For the photo storage, this can be specified in the "Enable Custom Host Path for Photo Prism Original Storage Volume" option. This can point to where you want to store your photos. This volume also needs permission given to the "apps" user, if you went with the default user. I think you only need Read Only permission, but you'd also have to enable it. I just gave "apps" full permission.
For example my options look something like this:
Photoprism storage:
/mnt/TrueNas/AppConfig/photoprism
Photoprism originals:
/mnt/TrueNas/Cloud/photos
You can also set an import directory, but I didn't bother with that.