In the context of the full set of lyrics it seems to me understandable, although maybe not immediately. However we have a Wikipedia article explaining the meaning of the song. The song:
...is addressed to a desperate wife and mother who would like to trade
her prosaic existence for the jet setting lifestyle the song's
narrator has led. The narrator alludes to various hedonistic episodes
in her life, concluding that while she's "been to paradise," she's
ultimately failed to find self-fulfillment expressing this with the
line, "I've never been to me."
I've Never Been to Me: Content
The "paradise" that is meant in the song is the supposed glamorous and dissipated lifestyle many ordinary people aspire to, ie., hanging out with important people, travelling to exotic places, etc.:
Oh I've been to Nice and the isle of Greece
While I sipped champagne
on a yacht ...
but I've never been to me.
This question probably belongs on another SE site. Are song lyrics literature?
is this a common expression?
No, it very much isn't. It makes no sense semantically to me, well other than metaphorically maybe, as used in this song. I understand what "I went to him" means, but I don't understand what "I went to me" means in a literal sense.