The default self-signed certificate is in file /etc/lighttpd-self-signed.pem, bundled together with private key – that is how lighttpd expects it.
Fell free to put your certificate wherever, then update the configuration file /etc/lighttpd/conf.d/ssl-enable.conf. Don’t forget to add the chain certificate as well, into the lighttpd option ssl.ca-file, otherwise your certificate could not be recognised as valid.