Answer
Driving licences are issued by departmental authorities, so you should apply to the relevant intendencia rather than a single national office. Foreigners most often consider procedures in Montevideo, Canelones, and Maldonado; however, whether an exchange is available and the requirements depend on the place of residence and the rules currently in force.
It is not always possible to choose any city just for the sake of a lower fee. The office may request proof of an address in the department, and appointments, medical examinations, and consular documents vary. First, check whether the office accepts applications from people with your address and a foreign driving licence.
Compare not only the price, but also the number of visits, travel, and processing time. If the procedure requires a second trip, applying closer to home may be more cost-effective than the formally cheaper option in another department.