You really should have an immigration attorney look this over for you. An immigration attorney will be able to ask you and your spouse questions to determine if your spouse will have any difficulties in the future as a result of filing this petition. If problems are foreseeable, the attorney will be able to advise you accordingly.
The answer to this question cannot be made on this post. You should be careful about what consulate that you state on this application, because, if done incorrectly, can complicate matters later. Answering this question DOES NOT mean that she has to consular process (go back to her country for an interview). I recommend that you hire an attorney in NM.
This advise does not create an attorney-client relationship.
Please be advised that my response above is NOT legal advice and does NOT create an attorney-client relationship between you any myself. You should NOT take action based solely upon this response. I have not conducted the complete inquiry into all the facts of your case which I would undertake if you had retained me to act as your attorney. Additional facts which we would discuss if you hired me to represent you may very well change the response I have provided above. I strongly recommend you talk to an attorney who is experienced in immigration law in order to receive advice specific to your case. All of the responses which I post on Avvo.com are intended as general information for the education of the public, and should be considered to be a form of advertisement.
Ciudad Juarez is the only consulate in Mexico that processes immigrant visas, so you don't really have a choice. If she is Mexican, then answer is Ciudad Juarez, except under very limited circumstances in which she might be able to apply in a third country, but that is incredibly unlikely.
This reply is intended only as general information and does not constitute legal advice in any particular case. This reply does not create an attorney/client relationship.