Here it what I found out posted in one of the blog, around Aug 2011. looks like technically You CAN but not in mexico
Can you go to First time H1B visa stamping in Canada ?
This is a very confusing question for everyone, can we go to Canada then for first time H1B visa stamping. The reality is, there is no rule or any condition written anywhere just like on US Mexico Consulate website on US Canadian Consulate general website. The consulate general website mentions that H1B visa holder required documents and puts in a clause at the end : “Consular officers in Canada may refuse to issue a visa to H-1Bapplicants if their education and /or work experience is solely or predominantly from a country other than the U.S. or Canada”
What they are trying to say is it can create issues if you have full education or experience in your Home country. This is a typical case for L1 to H1B conversion or H4 to H1B visa conversion people. It is a caution to someone who did not study in US or work in US to avoid if you can.
