Machine learning (ML) has greatly advanced data-driven channel modeling and resource optimization in wireless communication systems. However, most existing ML-based methods rely on large, accurately labeled datasets with location information, which are often difficult and costly to obtain. This paper proposes a generative framework to recover location labels directly from sequences of sparse channel state information (CSI) measurements, without explicit location labels for radio map construction. Instead of directly storing raw CSI, we learn a compact low-dimensional radio map embedding and leverage a generative model to reconstruct the high-dimensional CSI. Specifically, to address the uncertainty of sparse CSI, a dual-scale feature extraction scheme is designed to enhance feature representation by jointly exploiting correlations from angular space and across neighboring samples. We develop a hybrid recurrent-convolutional encoder to learn mobility patterns, which combines a truncation strategy and multi-scale convolutions in the recurrent neural network (RNN) to ensure feature robustness against short-term fluctuations. Unlike conventional Gaussian priors in latent space, we embed a learnable radio map to capture the location information by encoding high-level positional features from CSI measurements. Finally, a diffusion-based generative decoder reconstructs the full CSI with high fidelity by conditioning on the positional features in the radio map. Numerical experiments demonstrate that the proposed model can improve localization accuracy by over 30% and achieve a 20% capacity gain in non-line-of-sight (NLOS) scenarios compared with model-based Kalman filter approaches.