"Live in" refers to structures and locations specifically - "I live in New York City. I live in an apartment. I wish to live in a house in Tokyo." English is glued together with these prepositions (https://en.oxforddictionaries.com/grammar/prepositions) to show relationships. "Live" on its own is more abstract and about existence generally. "I'm living well" means "I am healthy. I am happy." This is also seen in the phrase "to make a living", which refers to job or occupation - "I make a living as a teacher."