XBT and pjiang, Can I apply H1B from Mexico?

I was planning to apply AP in July (I have I-140 approved) for my business trip to Europe. Since this is no longer possible, I am think to go to Mexico to apply visa. Is it possible? I have been in the states for 7 years, never came back to China. My status changed from F2 to F1 to H1B. Is it risky to apply visa there? If it is denied, can I come back then?

Thanks a lot!