You can try in any of the consulates. If you think you have a better chance in Mumbai you can go to Mumbai. But sometimes, based on a rejection (usually for the same visa), the 2nd consulate people ask you to apply at the first consulate again.
Yours is a slightly different case...
My only advice is to have all documentation ready (especially L1 rejections are rare, what was the reason?) and be prepared to take the journey to delhi if required. But if the H1 comes under Mumbai consulate, you can argue that your office is under mumbai consulate and ask mumbai consulate to give a decision themselves in case they want you to try in delhi.
