If you are currently living outside of the U.S., it may be best to remain there as the I-526 is processed, and then obtain your conditional green cards at the U.S. consulate in your country. If you are in the U.S. based on a valid nonimmigrant status (like an E-2), you can remain where you are and apply for adjustment of status with USCIS. You do not have to live in the same location as your investment.