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Dear Ms. Giery,
Thank you for posting your question to History Hub. There is a good overview of State Department records available at the National Archives here, including a section on visa records in Record Group 59. It sounds like your best bet would be to consult the series General Visa Correspondence, 1914-1949 or Visa Case Files, 1914-1940. Both of these series are located at the National Archives Facility in College Park, MD. For more information, please contact the reference staff in College Park at firstname.lastname@example.org.
Best of luck with your research!
Thank you very much for your helpful answer, Mr. Begley.