Slight correction: You refer to Consulates (they deal with their own citizens/foreigners to renew passports, issue visas, etc). They may be many and located anywhere found necessary. They depend on the Embassy. Embassies deal with the relations between the States (political issues) and in 95-99% of the cases they are located in the capital (thus, only 1 per State). But there may be a consular section in the Embassy or a Consulate in the capital. Why I say that? They may be in a completely different location, so if you ever ask and go to the Embassy instead of the Consulate, you'll waste your day (not in Itkursk, but in Moscow, for instance).
Maybe a non-sense, but why don't you get the visa while at home, not possible? ( The Mongolian Consulate - General Australia)
In Tashanta border there's a reasonably big office on the Mongolian side, but I have no idea if they issue visas. Sorry, this may not be a very useful answer, but I wanted to point out the difference b/w Embassies and Consulates.
Happy travels,
Esteban
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