Damirga

KL is unique in that they actually pre-screen documents post-2NL, pre-interview.
 
They expect proof of admission (physical presence) and a residence type visa or permit (ability to stay within Malaysia for interview processing). 
 
You can get away with choosing KL at the KCC stage - they don’t usually check so long as your inputted address is proper - but you’ll hit a roadblock once you get your 2NL if DOS has not yet announced their solution for Sudanese DV (ie; instructing all or specific embassies to intake Sudanese), or you have not yet obtained a resident visa for Malaysia. 
 
With that said, in DV22 KL made exceptions and helped out a bit with applicants who were stuck at backlogged embassies - all they required at that time was an admission stamp. Goes to show how much can change from one DV year to the next. 
 
Are there any other countries you could realistically get a long term visa for by the time you interview? You can guesstimate sometimes when that will be based on your CN.
 
 

Right, DV has to deal with KCC. Hopefully, someone who has experienced your situation or with more knowledge on what to do will advice. Good luck.

At the beginning of the form, you select the location for your interview, and this choice cannot be changed later.
 
KCC, when processing the DS260 and determining interview location, considers your selection and compares it to your present address.
 
When they differ, the present address is the preferred input.
 
If the present address does not have a US consulate or embassy, they assign those nationals elsewhere, usually in a country that is relatively accessible. For example, Somalian applicants are assigned to Nairobi, Afghan applicants to Islamabad, Chad applicants to Yaounde, etc; The events in Sudan are too recent though and as such DOS has not yet announced what embassy will process Sudanese nationals.
 
To change your interview location, your current address must be within the jurisdiction of your desired embassy. KCC will see the difference and will base the location on the address.
 
After submitting the DS260 you can also email
them at kccdv@state.gov and clarify that the selection is inaccurate and you should be interviewed at embassy X, but it’s important the present address matches or they may not honor it.