Need advice - Skopje or Sofia?

Sofia would satisfy your wishes better.

While I’ve only visited Sofia, it meets your stated needs save for nightlife, as that’s not generally on my list of important travel activities.

I've been to Skopje on business about 10 years ago. I would not call it a party town. Surprisingly modern, but not fully developed as a major capital city. They had one McDonald's at the time. But yes, it was cheap. There is a marker for the house where Saint Theresa of Kolkata (Mother Theresa) was born, although the house was long gone. The countryside was very interesting.

It does not surprise me that Skopje is modern. On July 26th, 1963 it was utterly destroyed by huge earthquake. I still remember that, fortunately not from personal experience but seeing it on TV. https://en.wikipedia.org/wiki/1963_Skopje_earthquake

I haven't been to Skopje but I have been to Sofia for a long weekend with friends. There's a good nightlife scene however it's not great for food. We are all a bunch of foodies and we travel regularly to sample good food, we ate at one of the most highly recommended restaurants however, with the exception of the fried duck hearts, the meal was average. Focus on cheap, traditional Bulgarian fare and you'll be ok, kebabs are good there.

For shopping Vitosha Boulevard is the most exclusive street in Sofia, I can't speak for prices as I wasn't there for shopping but I suspect they're less than in Denmark. It's a good place to find a bar and people watch.

Perhaps consider Bucharest? Cheap, good food, and its nightlife is insane.