The surface of Canticle is ever bombarded by a pillar of light which scorches the entire surface. Nothing survives this, causing even souls to be transmuted into little Investiture batteries. The people on this planet have to constantly stay on the run to survive, never truly knowing more than a fleeting moment of peace.
Sounds like Hell right? Well, no. As many of the people living on Canticle told Nomad again and again: This Isn't Hell. Their ancestors lived in Hell and fled it.... they fled to Canticle to escape Hell.
You might simply attribute this to the nature of Threnodites, especially those we see on Canticle. They take things in stride. Even when faced with certain death, they carry on without complaint. Back in the past of Threnody, Silence exemplifies these qualities as well.
I however think that there is more to this. The people who fled Threnody had space flight technology. Advanced enough space flight technology that they left not just their planet, but their entire solar system. Canticle is not one of the planets listed in the Threnodite solar system. If these people could escape the entire Threnodite system, why would they choose Canticle of all places? Perhaps they had no choice, but I think they may have chosen it intentionally.
Consider the reason these people left Threnody. When a Threnodite dies, their soul becomes a shade. Nomad describes Shades as one of the most dangerous forces in the Cosmere. Every single Threnodite becomes a shade someday, and as far as we know Shades don't go away once created. The entire planet of Threnody became overrun by shades, making the place unlivable. So the people evacuated the planet. However, these people may have had enough foresight to know that wherever they ran, their Shades would eventually overrun that planet as well. Nomad notes that the way that Canticle zaps people into little batteries is precisely the reason Canticle is not overrun by shades. The Chorus essentially confirms this as well, and seems to me to imply that they came here intentionally,
If we establish that the people came to Canticle to intentionally avoid another Hell, then I think there are two possibilities of how they found Canticle.
The first is that they searched through the Cosmere until they found a planet that would obliterate shades. This would require a tremendous amount of technology. Perhaps possible in the far future of Era 4, but not at all possible with the level of technology we've seen so far (even I think with the level of technology we see in Sunlit Man, which is likely hundreds of years after the Threnodites arrived). I think this first possibility would require an incredible amount of luck.
The second possibility is that Canticle was created for them. By a Shard. One popular theory I've seen is that Canticle is an experiment created by Invention. We don't know anything about Invention, but it seems a fitting manifestation of the idea that Shard represents. It could be that the planet is just an experiment left running, that the Threnodites happened to stumble upon. Experimentation is definitely part of invention. However, another thing about invention is that usually it creates something that fulfils a need. That need could be the creation of some sort of core battery in the planet, or it could have instead been to create a planet where Threnodites could live without causing Shade apocalypses. Perhaps the people of Threnody knew enough Cosmere lore to seek out Invention. Perhaps Invention came to them knowing that following in Odiums wake would provide a great place to rationalize some experiments.
TLDR; Canticle is actually the only place a Threnodite can live without fear of Shades, and it may have been created by Invention specifically so that Threnodites could escape Hell.