If you really want to be safe, don't go for any visa stamping thats the safest one. But if you goto Canada/Mexico and if your visa is rejected you have to go straight back to Nepal from Canada/Mexico without any plan. There is no way you can re-enter USA after visa rejection. On the other side, if you goto Nepal and if your visa is rejected at least you will be in your home and you can reapply again.

I think it doesn't matter where you go, I have personally tried both Nepal and Canada and I didn't have problem on either one. So, if you think you have strong document then you should be good. Anyway, there will be less issues will H1B visa. The main reason for visa denial is "Intent to stay in USA" but when you are in H1B visa, you are eligible to permanently stay in US and file green card. However, if you have any illegal stay in US then better don't go for any visa stamping until you get green card.

Hope this helps.