If you are going to get a US visa for your Thai wife or your Thai fiancee then you will need a police clearance certificate from Thai police. The following is what you will need for the application process and obtaining the clearance certificate. Check with your lawyer in Thailand as the what else would be needed.
The US government has two embassies in Thailand as can be seen from the US visa stats which have been listed on this website. Note the contact details for the embassy in both Bangkok and also in Chiang Mai. Depending on where your Thai fiancee lives in Thailand the embassy interview would be either at the US embassy in Bangkok or the US embassy in Chiang Mai.
There are a number of reasons why a US visa has been denied. You do need to speak to a US immigration lawyer who has the ability to view your case and appeal on the bases of which he feels that the visa was incorrectly denied. This denial can occur when you apply for a K1 Visa, K3 Visa or even a K2 visa. These are the basis of visa denial in the US.