I've checked the documentation, but I want to make sure I'm understanding it correctly. From what I can see, return labels are always USPS unless you connect your own UPS account. Shopify's negotiated rates are much better than mine, so I would like to use Shopify's rates when fulfilling orders, but use my UPS account for return shipping.
If I connect my UPS account, do I have this option? Or will everything automatically go through my UPS account and therefore, be more expensive?
One of the options you can try is to use the Multi Carrier Shipping Label app. You can connect your own UPS account and generate UPS return labels easily. Also, you can fulfil the orders using Shopify negotiated rates. You can try the app with a 14-day free trial and contact the support for any assistance required.