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Yes you can be asked to return to your home country for an interview. Your future wife will also have to show that she can support the both of you. if she has been in school she needs to secure permanent employment. When you leave the US you will have a 10 year ban from entering again.
 
my fiancee and i have been engaged for about 2years now and we planning on getting married soon. She’s canadian citizen and I'm from africa living illegally in the united state of America bc my visa got expired. Is it possible for her to file PR for me without me having to go back to africa. Can i file in the united state?

If you require an interview, it will be in your home country.
 
But i heard that they dont really ask for interview. Do you think its safe to do it from US because going back to home country isnt an option for us

They certainly do ask for interviews, especially with red flags, such as living illegally in the US. If you have other red flags as well, you have a high chance of an interview.
 
They certainly do ask for interviews, especially with red flags, such as living illegally in the US. If you have other red flags as well, you have a high chance of an interview.
The only red flag i have is living illegally in the US. Is there anyway you can do the interview apart from going to your home country