We are American/Russian and live in Mexico as well, currently living in San Miguel de Allende, GTO. we originally selected Mexico as preferred embassy location on the I-129F.
AFAIK, temporary or permanent legal residency in Mexico is required in order for the Embassy to accept the interview. Even then it is still at their pleasure to accept or deny.
This may have changed, there may be some flexibility as its difficult for Russians to get Schengen visas and into Poland currently. I have had a conversation with my senator's immigration aid who is assisting us with our visa regarding this. Its a problem and I'm not sure State Dept has a blanket solution for where Russian applicants can go. I know of one of my fiancee's friends in Moscow that recently, and quite quickly too, obtained a B-2 tourist visa by going through the embassy in Tashkent Uzbekistan. Also, I read that some applications are getting shuttled to the Almity Kazakhstan embassy.
Even with residency, we worry that the State Department will still send to Poland... We are according to VJ, the only Russian K1 application ever entered here with a Mexico requested embassy.