“Embedded Debugging” meaning actual line-by-line JTAG debugging or just UART output? With just UART output pretty much all the ESP32 (WiFi + BLE + Bluetooth Classic) boards fit the bill which are available on AliExpress for mostly under $5.
Since the ESP32 can be debugged with an external JTAG module (chips e.g. FT2232HL), you can additionally buy a e.g. ESP-PROG which retails for $12 on digikey, so it’s pretty close.
I’m not aware of a cheap ESP32 board with an on-board JTAG debugging chip, other than some Espressif Demo boards like the “Espressif ESP-WROVER-KIT” which costs $40.