Legal Question in Immigration Law in Washington

You actually must schedule an appointment with the U.S. Consulate to have the H-1B visa issued first. You cannot just leave the U.S. & re-enter.

You are requested to designate a Consulate on the I-129 petition, so that location is where your file & approval notice have been sent.

If you have already been issued an H-1B visa once, then you might be eligible to apply at a U.S. Consulate in Mexico or Canada as a "third country national". However, you would need to check with the U.S. Consulate first, to see if you are eligible.

I thus would highly recommend discussing all of this with the attorney who filed the case on behalf of your employer for more information & guidance.