How do I choose which of my devices the “ask to buy” request comes to?

The notification comes to any device which is signed into your Apple ID account.

If you have more than one device the system has no way of knowing which one you are using at any one time, but ought to pop up on whatever you are using at the time a request is made or, if you are not using a device at that point, immediately afterwards when you return to your device. If you are not getting notifications in a timely manner see Apple's support document If Ask to Buy isn't working

From what I remember the notification requires only one response on any one of your devices.