No problem for H-1B

I can definitely tell you that you can apply for H-1B visa stamp outside of the U.S. even you have filed I-140 or even I-485. I filed my I-140 and I-485 concurrently during my OPT and obtain H-1B petition approval notice after filing I-140/I-485. I went to the U.S. consulate in Mexico (CJ) this June and obtained an H-1B visa stamp for 3 month 2 entries. The VO asked me a lot of questions, but she never asked me if I have ever filed immigration petition. For H-1B it's allowed to have dual intent. So just go ahead to apply for visa stamp. Why not try the U.S. consulate in Mexico or Canada? I have a friend who applied H-1B visa stamp at Canada. She was asked only one question before obtaining H-1 visa. Very easy in Cananda. Mexico is also OK. Good luck