First, **do not use** either of your two queries. Both have a group by some column (`GROUP BY group_id`) and then select other columns, non-aggregated (`SELECT id, name`). This may give you **wrong and unexpected results**, despite that it may work in your tests, with some small sized table. 

Second, the `UNION ALL` is not a problem. If the two subqueries perform efficiently, then the final union is ok, too. If you need a sort, the efficiency will depend on how that sort differs from the indexes used.

Now, the problem of ["groupwise-max" or "greatest-n-per-group"][greatest-n-per-group] has many solutions (and even a tag, both at SO and here). There are two sub-problems, depending on whether ties can happen and what the wanted results are in those cases.

If you want all the tied rows, the solution with `GROUP BY` inside a derived table is usually good. In your case, that you want just one row returned per group, another approach is easier to write and usually performs very well when there is a small number of group overall:

    SELECT id, name, price 
    FROM items
    WHERE group_id IS NULL
    
    UNION ALL
    
    SELECT i.id, i.name, i.price 
    FROM 
        ( SELECT DISTINCT group_id 
          FROM items
          WHERE group_id IS NOT NULL
        ) AS di
      JOIN 
        items AS i
      ON  i.id = 
        ( SELECT id
          FROM items 
          WHERE group_id = di.group_id
          ORDER BY price, id             -- order for resolving ties
          LIMIT 1
        ) 
    ORDER BY
        <some_columns> ;                 -- final order

An index on `(group_id, price, id)` will be helpful

[greatest-n-per-group]: http://dba.stackexchange.com/questions/tagged/greatest-n-per-group