What is the risk of requesting an H1B visa from Canada or Mexico instead of your home town ?

Your home country post definitely has jurisdiction over you. For a consular post in a country other than your home country, you are considered a "third-country national" and jurisdiction is discretionary - they can choose to make a decision on your visa stamp application, but they don't have to.

If everything is straightforward and they have the time and expertise, it may be no problem at all. But if, say, there is a question as to the validity of some of your documents, the post in a country other than yours (Canada or Mexico included) may lack the expertise to evaluate them and simply say that you need to return to your home country and apply there.

This doesn't mean you won't eventually get the visa there, but it does mean significant additional delay and expense. I've seen employees try this against attorney advice, be told they must return to their home country post, and be fired by their employers for excessive unexcused absences while they wait abroad for an approval.

Sure, most of the time it works fine - but it can be a real disaster when it doesn't.