Do I need to return to the US to get a new METV?

need go back to your country of residence

Yes - if you want to get a METV

Not possible in Malaysia

Your FB pages says you are from New Jersey ... You can fly to the East Coast of America by booking stops in Amsterdam, London and other locations. It is even possible to book a direct flight to D.C. starting from Dubai - then route from there. Yes - it is a pain in the behind ... but think outside the box and figure out what else productive you can do with the trip. The positive result is a - up to 9 month stay in Thailand... if you use the 60 day border bounces and extensions timed correctly. You have to show employment in America... I bet you can find a friend or relative who will sign an employment document or create a DBA at the county level for $20.00 to show that you are self-employed ... get the $7000 required in a bank account ... remember the $7000 only has to be in the account until the METV is approved... then ... return it to whomever..

Just some friendly advice

If you have a residence in another country you can do it there. Afaik Australia is the only one who not ask for residence papers.