It is interesting that USCIS was ok with your file and the Embassy was not convinced. Is there anything in the questions that the interviewer asked that may give you a clue as to why the Consulate sees things differently?
suggestions for evidence (just a starting list)
Here is one thing that may help: Have your wife add you to bank accounts and insurance plans as a beneficiary. The same can be said for your bank account.
Also when she filed her 2014 taxes did she include you has her spouse ( married filing jointly , married filing separate ) ? It is a challenge because one needs to file a W7 to get a tax id number , but there are ways to file without one
Any intermingling of funds between bank accounts ( you helped her, she helped you)
Documents a trips taken together, boarding passes for example
Print outs of Social media or email that would indicate you are a couple.
At this point I would just bury the embassy with evidence.
