No. The Islamic Jihad Organization was a Shiite Militant group in Lebanon. Their deadliest attacks were in 1983, when they carried out bombing of the barracks of French and U.S. Multinational Force Peacekeeping Troops, and of the United States Embassy in Beirut using suicide truck bombings.

Mellina Fanouris has written:

'Phaedra' -- subject(s): Biography, Officials and employees, United States Embassy Bombing, Nairobi, Kenya, 1998, Victims of terrorism

The United States Embassy offers new webpage for Bahamians

The United States.

Yes, the word "Embassy" should be capitalized when referring to a specific embassy, such as the United States Embassy or the Canadian Embassy.