I don't think you want to leave the impression that the only reason you want citizenship is to avail yourself of its benefits but not want to live here.
It's not against the law to live abroad if you are an American citizen, however, I would have serious doubts about your sincerity and motives if you were actually requesting the interview to be conducted abroad.
If being an American is that important to you, why can't you make yourself available for an interview.
I can't tell you what's going to happen with your request, but you might just shoot yourself in the foot.
Remember, the citizenship process has a lot of subjectivity built into it, therefore the last thing you want to do is have anyone question your motives.
Tread carefully and Good Luck