any easier way to apply for the Z visa instead of returning back to my home country to obtain it?

I am currently living in China and had the Confirmation Letter of Invitation and stuffs so I now need to leave the country to get my Z visa to apply for my work permit and then obtain a residence permit.

I am being told that I will have to return to my home country (USA) to obtain the Z visa. When I first did this a year ago, I was able to go to Hong Kong and apply at the Chinese embassy. I had to leave China to apply but I did not have to return to the US. Is it true I have to return to my home country to apply for the Z visa or is it okay to do that in a country closer to China? or send to any visa agents to do that for me ?

thank you