Well, you definitely can’t live /on/ Neptune because anything we might consider a “surface” of a gas giant (which is probably a liquid hydrogen core) would be under so much atmospheric pressure that any vessel a human could inhabit would be crushed.
Since Neptune is just gas, you couldn’t terraform it, there’s no surface to make liveable. But if you’re really serious about life in the Neptune system, Triton, Neptune’s largest moon, would be comparatively easy to build a nitrogen / oxygen atmosphere around since it has lots of nitrogen and oxygen in its crust. That way, instead of living on Neptune, you’d get to have it looming hugely in the sky.
But, in general, so far from the sun even if you could build a breathable atmosphere it would be VERY COLD. So you’d need some sort of constant heat source around the whole moon. That would be very energetically expensive to generate, but maybe you could have some kind of fusion system that would suck hydrogen off Neptune and then fuse it in a contained ball that orbited Triton.
That is, of course, impossible, but it would be super cool!