This paper addresses the low-delay location of faults due to lightning strikes using single-ended measurements in HVDC grids. A combined data-driven and model-driven approach is used to estimate the fault location iteratively. No prior knowledge of the voltage evolution at the fault location is required. Once the first wavefront due to a fault is detected at some observation location of the HVDC grid, the measurements are fed to a model of the propagation of transient waves along the lines. The model is parameterized by the estimated fault location. As a result, a model of the waveform samples starting from the second wavefront is obtained. The measured and modeled waveform samples are then compared to update the estimate of the fault location. The performance of the proposed approach is evaluated via simulations, including field measurements of lightning currents. Typical location accuracy of 300 m is obtained by considering observations performed at 1 MHz over an observation time interval of less than 1.5 ms.