I am Nigerian citizen studying in Russia, how can I apply for a student visa to China? must I required to return to my country for that?

And i am student in Russia, i already have admission from Chinese university with JW202 form, but i went to Chinese Embassy in Moscow and they said that i should go to Nigeria to get my student visa. Mr David, please, advice me on what to do. Looking forward to read from you. Thanks, Samson.