Applying in your home country is called “Consular Processing.” If you are in the U.S., you would have to change your current nonimmigrant status to the E-2 Visa if you are approved.
However, one drawback is that it may take longer to apply while you are in the U.S. when compared to Consular Processing. The processing of an E-2 Visa application through the consulate is often much faster than with the U.S. Citizenship and Immigration Services.