你所說的,美國大使館,應為美國領事館 (consulate)。
加拿大公民可以不去美國領事館申請,If you are a Canadian citizen, then you are not required to apply for a TN visa at a U.S. consulate.
墨西哥公民必須去美國領事館。If you are a Mexican citizen, then you are required to obtain a visa to enter the United States as a TN nonimmigrant. You should apply for a TN visa directly at a U.S. embassy or consulate in Mexico.