Do you plan to be residents of the Ukraine after you marry, or of the U.S.? There's not much point in getting a fiancée visa and petitioning to adjust her status if you're not in fact going to be residents of the U.S.

You can marry in as many nations as you wish, consistent with the laws of those nations. Many people have a single legal marriage ceremony followed by a symbolic ceremony, even if presided over by a minister of their church, at another location.