As I understand it, without GPS the drone will simply hover until the battery is nearly depleted, then land, unless signal is re-acquired. However, no initial lock does not mean that the drone never got a GPS lock. It may have gotten a lock before or after loss of signal, in which case it will go into RTH mode and return to (you guessed it) last home position.
A good reason never to take-off until the controller indicates the drone GPS is green, or if necessary, hover at 20 meters until it does go green.