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A search of National Archives and Records Administration records revealed some items that may prove useful to you in your search for information regarding the Chinese legation prior to 1945. Within Record Group 59 (State Department) is a series titled "Notes from Foreign Missions, 1789-1906," and there is a file unit within this series for the Chinese legation from 1868-1906. You can find information for years 1868-1885, 1886-1891, and 1892-1897. These items are microfilmed and may be found at the NARA facility in College Park, Maryland.
In addition, the NARA facility in Atlanta has microfilm of "Records of the Department of State Relating to Political Relations between the United States and China, 1910-1929." More information on these records may be found here. You may also contact the Atlanta facility at firstname.lastname@example.org.
One other item that may prove useful is actually in the NARA online catalog. It is a file from the Franklin D. Roosevelt Presidential Library listed as "China, 1933-36" and is part of the Diplomatic Correspondence series of the President's Secretary's File. You can read this file online by going here.
Best of luck in your research, and thank you for contacting History Hub!