I am in the same situation and made the same mistake -- except in my case, I'm an Australian citizen who attempted to apply in Hungary while travelling.
The short answer is, most Thai embassies in Europe only serve residents of the country they are in (and sometimes surrounding countries). I didn't understand this and lost my application fee as a result.
I agree that this is counter-intuitive. Asking those of us who live as digital nomads should be able to apply for the DTV Digital Nomad visa without proving residence.
The cost in Hungarian Forints was pretty high, then once I found out I had to be a resident of Hungary to apply through the Hungarian Thai Embassy, I attempted to apply for temporary residency too. Unfortunately, I ran out of time and I had to leave the country empty handed.