I am in Alor Setar Malaysia and I’ve contacted the Thai Embassy in George Town, they said there is no problem with applying - I’ll be heading there tomorrow. I have a UK passport.
It doesn’t matter which Thai embassy you apply at for any visas, you just can’t apply online in some countries because their local embassies do not process online applications yet. And it’s the responsibility of the country you’re in to accommodate the visa. I hope this helps.