There are locations in Canada and in the USA. If Dubai Stu's interview was in the USA, it was very likely right at the border on the US side because that's where the US enrollment locations are.
That said, my interview was in Seattle at King County International Airport; CBSA has an office there. I think that location is unique in that it is the only location that is in the USA and not next to the border.
I was interviewed at the Ambassador Bridge crossing in Detroit.