An embassy was a place where a government conducted diplomatic relations with another government within the other government's jurisdiction.
The Selachians had an embassy on Pluto. (AUDIO: The Selachian Gambit)
The Draconian First Secretary was an aide to the Draconian prince at the embassy on Earth. (TV: Frontier in Space)
There was an American embassy in Ankara. (PROSE: Eternity Weeps)
To get into the Soviet embassy in Prague, the Eleventh Doctor used his psychic paper to claim that he was the ambassador of Syldavia. (COMIC: The Broken Man)
The Human embassies on the Moon were located in the Lunary city of Endymion. (PROSE: Minions of the Moon)