We asked Abdullah (i.e. Ibn Masud) about this verse: And do not regard those who have been killed in the cause of Allah as dead, rather are they alive with their Lord, being provided for (Quran Chapter 3:169). He said: We asked about that and the Prophet (ﷺ) said: Their souls are in the insides of green birds having lanterns suspended from the Throne, roaming freely in Paradise where they please, then taking shelter in those lanterns. So their Lord cast a glance at them (1) and said: Do you wish for anything? They said: What shall we wish for when we roam freely in Paradise where we please? And thus did He do to them three times. When they say that they would not be spared from being asked [again], they said: O Lord, we would like for You to put back our souls into our bodies so that we might fight for Your sake once again. And when He saw that they were not in need of anything they were let be. (1) i.e. at those who had been killed in the cause of Allah.

It was related by Muslim (also by at-Tirmidhi, an-Nasa'i and Ibn Majah).