There’s a setting in the ‘expert’ section at the bottom of the Settings tab. You can specify a full path there, if you wish. I strongly recommend against using it, as your backup may then not happily restore onto a server on which a different setup exists – there are all kinds of combinations (since UpdraftPlus is part of WordPress, thus its settings are part of the WordPress database – and when you restore the WP database, you thus potentially change the UpdraftPlus settings; and so if restoring this backup elsewhere, you will then change that setting when doing so).
David