Emperor Palpatine was originally hiding on Coruscant, not Exegol, in Star Wars: The Rise of Skywalker. While it first appeared onscreen in Return of the Jedi's special edition, the planet Coruscant took on a much larger role during the prequel trilogy. In those films, it was a key location, home to the Jedi Temple and the Galactic Senate. Coruscant was something new for Star Wars - a bustling metropolis depicting life in the Republic before the Empire's rise. Over time, it's become one of the central planets in Star Wars lore thanks to The Clone Wars and other areas of franchise canon.
Coruscant did not factor into the Star Wars sequel trilogy, which was pretty light on prequel references overall. Some of that stems from the fact so much time had passed in-universe between the prequel and sequel trilogies, but fans might have been hoping for a little more than quips about clone armies or Luke Skywalker briefly recapping the Jedi purge. And, as a matter of fact, The Rise of Skywalker was initially going to have a much more overt prequel connection that actually impacted the movie's plot.
In the book The Art of Star Wars: The Rise of Skywalker, author Phil Szostak details an early draft of the film's script, in which Kylo Ren traveled to a desolate Coruscant to meet Palpatine. Concept art of this scrapped idea was released earlier in the year, showing Kylo encountering wolves. Read Szostak's description in the space below:
"Instead of finding his way to Exegol, in the early November 2017 version of The Rise of Skywalker story, Kylo Ren instead takes his shuttle to a desolate, ash-covered Coruscant, the once bustling city streets now overrun by giant wolves. Inside the abandoned Jedi Temple, Kylo takes a central elevator down to the temple's deepest level."
It's unknown why this thread was abandoned in favor of Exegol, but it definitely sounds intriguing on-paper. Returning to Coruscant would have been an interesting way to bring the Skywalker saga full circle, ending the story in one of the places where it began chronologically. Also, well-versed Star Wars fans know the Jedi Temple was built over a Sith shrine (which Palpatine took great interest in during his reign), so this would have been a deep cut reference longtime canon aficionados would have appreciated. The idea of Palpatine returning to this specific location is a very tantalizing one. Exegol was newly created for The Rise of Skywalker, and obviously lacks the historical significance within the context of the overall franchise and with audiences. Just in terms of visuals, seeing Coruscant so barren would have resonated more strongly.
If Coruscant was kept for The Rise of Skywalker, it's all but a guarantee it would have been the site of the final battle (something Colin Trevorrow had in mind for his Duel of the Fates, coincidentally). That means Rey's ultimate victory over her grandfather, where she was aided by the spirits of all the Jedi before her, would have taken place in the old Jedi Temple, decades after the Order had been eliminated by Sidious and Vader. For a franchise infamous for having its installments rhyme, it's a little surprising J.J. Abrams didn't see this through. As a concept, it seems to have powerful thematic and narrative weight, tying Star Wars' past and present together in compelling manner. Exegol worked functionally for the purposes of The Rise of Skywalker, but the light side's triumph happening on Coruscant would have been more compelling.
Source: The Art of Star Wars: The Rise of Skywalker