Logically it will select the cheapest dig that available on any levels.
In line with the other auto-advs, wouldn't auto-dig select the most expensive one within the range of your money balance? And not the cheapest? Don't know how that would work exactly for multi-level (can I pay for one digging with the money from another level? or can each map only pay for the local diggings?) because that can be a bit more complicated to determine the next digging site.