Just because a phone can run J2ME it does not mean that it’s manufacturer placed a GPS unit in it. As far as I know there are mobiles which can run Java applications but do not have a built in GPS. If you want to find the location of your phone, you can resort to triangulation, where you use cell towers to locate the phone. That being said, this method offers at best, a relatively large margin of error.
If the triangulation mechanism does not work for you, you will have to restrict your application only to GPS enabled phones.
solved GPS in j2me enabled mobiles