@Ady ******
you're not on the list of prohibited countries in either Lao or Malaysia.
Of the choices you asked about I'd say the thai consulate in Vientiane would be the easiest one to use. They require NO proof of funds, onward travel or hotel booking.
The thai consulate in Penang requires all three of those proof-ofz, as does the consulate in Phnom Penh AND Phnom Penh takes 3 days to get your passport back to you