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.
Note that you need to read the pages on this website as to the process of getting to the point of an interview at the US embassy in Thailand. The process begins in the US with the application process. If you have lived in Thailand for a very long time where you would have qualified as a resident of Thailand the US embassy does allow you to start the process in Thailand at the US embassy. This is very rare but it does occur as expats might decide to return to the US for financial reasons after many years of living in Thailand. Speak to a lawyer in Thailand to find out if you qualify for this.
US Embassy Bangkok
95 Wireless Road,
Bangkok 10330, Thailand
General information:
Telephone: 001-800-13-202-2457
Message for Immigrant Visas call: (662)-205-5004
Email inquiries regarding: visasbkkiv@state.gov
Hours of Operation: The Consulate’s normal business hours are 07:30 to 16:30
US Embassy Chiang Mai
387 Wichanond Road
Chiang Mai 50300, Thailand
General information:
Fax: 053-252-633 (from inside Thailand); +66-53-252-633 (from outside Thailand)
Email: acschn@state.gov
Hours of Operation: The Consulate’s normal business hours are 07:30 to 16:30
District: The Chiang Mai consular district covers fifteen provinces: Chiang Mai, Chiang Rai, Kamphaengphet, Lampang, Lamphun, Mae Hong Son, Nan, Petchabun, Phayao, Phichit, Phitsanulok, Phrae, Sukhothai, Tak, and Uttaradit.