OK, first of all there is always possibility of denial for applicants (except for H and L visa) if they are not able to show proof of binding ties to a residence in Nepal which they have no intention of abandoning. This can be categoried under section 221(g) which is also for any missing/inadequate documents.

So, that being said its much safer for H and L visa to appear in interview than other visas like F visa. Now regarding whether to goto Nepal or Canada or Mexico. It might be little easier in Canada or Mexico but there is this risk that if your visa got denied you have to go straight back to Nepal from Canada or Mexico. Again, it might be little hard in Nepal due to situation in Nepal but its again our home country so, if the visa got declined we can reapply staying at our home. At least we have our home in Nepal.

So, my suggestion is if you think you have possibility of visa getting declined, then don't travel outside USA unless its very urgent.

Thanks and I hope this helps.