What really matters is the country where you were born - I hope you listed your country of birth as Nepal, and country of eligibility as Nepal.
As far as city of birth goes, it should be fine. I've seen cases where people have listed Kathmandu as their place of birth while they were born in Lalitpur and vice versa.
My advice to you is still list Bheemdatt as your City of Birth in your DS260. But even if you already filed it, don't worry about this
When you go to your interview at the US Embassy, they will know that Bheemdatt is within Kanchanpur district. Should be fine.