Definitely not normal, it should self centre pretty effectively as long as you are moving, allowing for effects of road camber of course.
As Ian says, start with the easy stuff first, tyres etc. Also check the front wheel alignment, I forget the exact figures now (it's in the workshop manuals available on this forum), but the alignment should be pretty close to parallel, just a slight toe-in if I recall correctly. Is it 0 to 1mm toe-in? Must check. You can do it approximately using ad hoc stuff, bits of wood and string, just to get a rough idea of what it's like. Abnormal tyre wear would also indicate mis-alignment.
If you have the facilities to do so, a "wheel free" check would be desirable, jack the front up and put it on blocks/stands under the subframe mounts (strong points) so there's no weight on the suspension (wheels removed). Get someone to turn the steering slowly and you might be able to feel or see where the resistance is. Mind fingers though!
I suppose my guess would be it's likely to be either the steering rack or ball joints, but start at the easy end. At least the suspension isn't McPherson struts, which can tend to wind springs up sometimes causing pulling to sides.