Are you sure about this? My lawyer told me as soon as I submit I485, you can no longer go back to TN, denied or not.
-Techincally you can not due to your immigration intent, but the DS-160 for the non-immigration visa applciation never asks whether you have filed the immigration visa application before anymore, so you still have a chance to get the TN visa, so just try it if you do not have other choices.