Yemen has a consulate in Alabama?
I don’t know. Note the DOS statement that she doesn’t have a “valid passport.” It clearly doesn’t exclude her having a “passport” issued by DOS. My guess is she probably has an invalid one that was issued on the basis of a birth certificate or, alternatively, a “certification of birth,” that did not disclose her being the child of a foreign diplomat and his wife and that DOS carefully investigated how she got that document and discovered it was invalid due to her parentage.