Her grandmother lives now in AZ and she ganna to write a letter that she has been in USA since 2000, will they accept the letter as a proof?
No. One of your wife's parents must provide documents from schools, employers, or other entities to prove their years of presence in the US. They must also provide proof US citizenship.
Where we have to submit the 600k , here in Canada or we have to enter USA with the baby and submit it in USA?
Send it from outside the US to the designated address in the US (see the USCIS web site and N-600K instructions).
As I understand, she can enter USA during 600K process, correct?
The baby can enter the US once the N-600K interview letter has been issued. Entering before that may be a problem.
If thy accept her application, will she get a passport? Do she need to do the oath?
If they approve the N-600K they'll issue a citizenship certificate. A US passport would have to be obtained later, using the certificate as proof of citizenship for the passport application. The baby won't take an oath, but there will be some formalities for your wife at the end of the process when she goes to pick up the certificate.
My citizen interview next month, if I get the nationality before delivery , will the situation be easer?
Definitely a lot easier. If both you and your wife are US citizens at the time of the baby's birth outside the US, the length of time you lived in the US doesn't matter (as long as it's greater than zero), and the baby will be eligible for citizenship at birth; instead of N-600K you would apply for a Consular Report of Birth Abroad at a US consulate in Canada, which should be approved in a few weeks. You can also apply for the baby's US passport at the consulate at the same time.
You should bring documentation of the pregnancy, your marriage, and your wife's US citizenship to the interview and explain the urgency of getting US citizenship before the baby is born and maybe they'll give you a quicker oath date. Remind the interviewer that your wife didn't spend 5 years in the US so the baby is not eligible for citizenship through her alone, thus the importance of both parents being US citizens in time for the birth.