H1B consular processing, can I interview in a consulate outside home country?

I am on F1 - CPT, currently working in the US and have an approved H1B petition on consular processing. My OPT extension ended July 2015, so I enrolled for second masters and received work authorization via CPT.

My application was picked in Apr 2016 lottery. Since it was submitted on consular processing, I understand that I need to go out of the country and attend the interview to initiate H1. But does it have to be my home country (India in my case) or can I go to Canada to get it stamped. The wait times for consulates in Chennai, Hyderabad, Mumbai are unusually high (80 to 120 days). Do you know if it’s a requirement to attend the interview in your home country. The approval notice also said something about “Notified Consulate: Chennai”, does it mean that I can take only in Chennai?

The wait time for Delhi and Hyderabad has reduced dramatically. You can go to any consulate in India even though it says Chennai on your petition.

As you have done Masters in US, you may still be ok to attend the interview in CA or MX. However, they always carry a risk of visa not getting approved and then you would have to enter on another visa or go to home country for H-1 visa stamping.