I'm sure filming a one-off in a foreign country is much more complicated than shipping the key talent and some crew over there. There are permits, extras, logistical support (trailers and food and stuff), that would make the price pretty high. Seeing the behind the scenes pics from when Doctor Who was in New York last year made it look far more complex than three Brits plus the mike & camera guys.
Then there's scheduling - they might have been able to afford to ship Molly off for a week, since she is a secondary character whose parts could normally be shot in the apartment set in a day or two for any given episode (which I'm guessing follows the usual 6-8 days to shoot for a network show). Nathan is a principal and is armpit-deep into filming for most, if not all of those days; taking an extra week to film some establishing shots would be far less tenable.