It’s exactly the same, just with a different consulate. But loads of people live in a different country to the one(s) they have citizenship in, it’s no biggie.
You do need to adjust your expectations on timing though, it’s approx 14-17 months just for the first stage (the I-130), then the visa application follows. And because of the country your fiancée is from, there may be extra background checks which will add more time.