Get H1B visa from Mexico

Here is my history: I had change of status: J1-F1-H1B in the states. i had a lawyer to help me change from J1 to F1 and the visa officer from DC issued a letter that my category is not subjected to the two-year rule, though my visa said so, no waiver needed for my case. So would i have any problem getting an H1B visa from a third country, such as Mexico? If anyone has any information, please share with me. Thanks very much!