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In the A Song of Ice and Fire series, there is a chapter from Melisandre's point of view. In this chapter, it is revealed that she was bought as a slave in R'hllor's temple. Other such slaves are Benerro and Moqorro; they have a tattoo of flame on their faces.
But why doesn't Melisandre have such a tattoo on her face?
Melisandre uses rubies to put glamours on people and change their faces:
Rattleshirt sat scratching at the manacle on his wrist with a cracked yellow fingernail. Brown stubble covered his sunken cheeks and receding chin, and strands of dirty hair hung across his eyes. "Here he comes," he said when he saw Jon, "the brave boy who slew Mance Rayder when he was caged and bound." The big square-cut gem that adorned his iron cuff glimmered redly. "Do you like my ruby, Snow? A token o' love from Lady Red."
A Dance With Dragons, Jon IV
(note this is actually Mance speaking above, glamoured into looking like Rattleshirt)
Melisandre notably wears a large ruby, which she uses to do magic.
"As you will." Melisandre of Asshai took the cup from his hands and drank long and deep. There was only half a swallow of wine remaining when she offered it back to him. "And now you."
His hands were shaking, but he made himself be strong. A maester of the Citadel must not be afraid. The wine was sour on his tongue. He let the empty cup drop from his fingers to shatter on the floor. "He does have power here, my lord," the woman said. "And fire cleanses." At her throat, the ruby shimmered redly.
A Clash of Kings, "Prologue"
(this is Melisandre stopping herself from being poisoned)
Melisandre is probably much older than she appears:
Melisandre had practiced her art for years beyond count, and she had paid the price. There was no one, even in her order, who had her skill at seeing the secrets half-revealed and half-concealed within the sacred flames.
A Dance With Dragons, Melisandre I
Melisandre is likely using a glamour on herself; we have no idea what she actually looks like.
A couple of additional notes:
Melisandre is likely not originally from Asshai but went there as an adult, and spent enough time there that she's associated with it (and purposefully promotes that image).
Yet the population of Asshai is no greater than that of a good-sized market town. By night the streets are deserted, and only one building in ten shows a light. Even at the height of day, there are no crowds to be seen, no tradesmen shouting their wares in noisy markets, no women gossiping at a well. Those who walk the streets of Asshai are masked and veiled, and have a furtive air about them. Oft as not, they walk alone, or ride in palanquins of ebony and iron, hidden behind dark curtains and borne through the dark streets upon the backs of slaves.
And there are no children in Asshai.
The World of Ice and Fire, The Bones and Beyond: Asshai-by-the-Shadow
It's therefore possible, but not confirmed, that Melisandre was indeed bought and sold in Volantis and therefore would have a tattoo. We just don't know.
Tattooing the face is the custom only in Volantis. It is mentioned in the books but made more explicit in The World of Ice and Fire.
Many of the Old Blood of Volantis still keep the old gods of Valyria, but their faith is found primarily within the Black Walls. Without, the red god R'hllor is favored by many, especially among the slaves and freedmen of the city. The Temple of the Lord of Light in Volantis is said to be the greatest in all the world; in Remnants of the Dragonlords, Archmaester Gramyon claims that it is fully three times larger than the Great Sept of Baelor. All who serve within this mighty temple are slaves, bought as children and trained to become priests, temple prostitutes, or warriors; these wear the flames of their fiery god as tattoos upon their faces. Of the warriors, little enough is said, though they are called the Fiery Hand, and they never number more or less than one thousand members.
[...]
The custom in Volantis is that the faces of all slaves are to be tattooed—marked for life to show their status, and carrying that burden of the past even if they are freed. The styles of tattooing are many, and are sometimes disfiguring. The slave soldiers of Volantis wear green tiger stripes upon their faces, which denote their rank; prostitutes are marked by a single tear beneath their right eye; the slaves that collect the dung of horses and elephants are marked with flies; fools and jesters wear motley; the drivers of the hathays, the carts pulled by the small elephants of Volantis, are marked with wheels; and so on.
The World of Ice and Fire, "The Free Cities: Volantis"
Whereas it seems that Melisandre is from Asshai not Volantis and so wouldn't come under this custom.
The woman was the heart of it. Not the Lady Selyse, the other one. The red woman, the servants had named her, afraid to speak her name. "I will speak her name," Cressen told his stone hellhound. "Melisandre. Her." Melisandre of Asshai, sorceress, shadowbinder, and priestess to R'hllor, the Lord of Light, the Heart of Fire, the God of Flame and Shadow. Melisandre, whose madness must not be allowed to spread beyond Dragonstone.
A Clash of Kings, "Prologue"
