Well, it depends...
Every gun is different, and each has its preferred load. I buy each gun what it prefers.
My stainless 3" Taurus 85 is very partial to Rem-UMC 130gr FMJ. Anything else (factory cheapie ammo) groups much larger in that gun.
My S&W4006 hates UMC, but loves Win-USA 180gr.
The S&W 39-2 hates both Rem-UMC and Win-USA, but loves PMC.
The DW .357 gets his own special handloads. Either a 125gr jhp or 158gr hard cast swc
I've never really noticed that one brand of factory new ammo is 'dirtier' than another. Then again, I probably shoot 100rnds of each caliber when I go to the range. I don't notice that the Taurus gets any dirtier than the others. The reloads that are sold at a local indoor range smoke like they're half black powder. Those are so nasty, sooty and dirty that I wouldn't shoot them again if you gave them to me. Same goes for those UltraMax commercial reloads. Nasty.
About the cleanest burning ammo in any handgun caliber I have used has been CCI Blazer.
Again, these are just my observations. Your particular experiences may be different. That's why there are the various brands to begin with!