I found another person on a forum with the same issue below:
I’ve been a little confused by the notification and where it takes you as well. I do not like, as it seems you don’t either, the fact that if you unlock right after a prowl notification it takes you directly into prowl and not the inbox. However, I think when a prowl notification comes in and you’re on the springboard, not the lock screen you get the option to close/view and view does take you to the inbox, so maybe launching mail from the notification on the lock screen is doable through an update.
Is there a possibility that we could have an option in the settings of Prowl to turn this on or off? Or possibly to open mail when a mail notification arrives, etc. I would personally like to unlock the iphone after a push and it just go to the main iphone screen. Then I would have the option to open Mail or Twitter.