not sure about other cities

This is the experience of a friend. At Matomoros(Brownsville, TX), you can pay $550 at the border office to get a visa waiver and come back to the US if got rejected. It's very common to be checked for several weeks before you can finally get your visa.The consulate people will tell you that you can either fly back to your own country or talk to the immigration officer at the bridge(pay the money).