How do a Bangladeshi Citizen working in USA get single certificate to marry a Chinese woman?

I am unmarried, Bangladeshi Citizen, working in USA under H1B VISA (do not have green card, neither applied for it). My Fiancee is in Shanghai. I do not have any marriage record in USA. Can I do affidavit in local notary public office, get it certified by Secretary of the State Office, and send it to Chinese Consulate for Authentication? OR, Do I need to go to Bangladeshi Embassy and get an affidavit from there directly? Your prompt answer will be much appreciated. Thank you.