Where did many prisoners think they were going before they arrived at auschwitz

To the east for new jobs and living places.

Explanation:

No one could believe what was coming. Death camps were something new in Europe (the first experiences of such camps was in Oceania and South Africa). Because of that, many prisoners thought that they were going to a city, or seek a job. They knew that they would still be prisoners, but death (or extermination) was not a thing that they considered to be possible.