Quoiting from the first sentence on the main page about asylum on usembassy.gov, which is the first hit I got on Google:

"The United States does not grant asylum in its diplomatic premises abroad. Under U.S. law, the United States considers asylum only for aliens who are physically present in the United States."

So I guess it's understandable that some people might believe they have to be physically present in the United States to be apply for asylum