Wrong - makes no difference whatsoever where the iPhone was purchased. You purchased an iPhone sold as carrier locked with AT&T - included on the retail sales box that service with AT&T is required along with AT&T's company logo.
Only the carrier an iPhone was sold as carrier locked with regardless where the iPhone was purchased can send an unlock request to Apple, which in this case is AT&T. AT&T does not unlock an iPhone for any reason or under any circumstances.
If Apple unlocked an AT&T carrier locked iPhone without AT&T's consent and request, they would be sued by AT&T for violating their contract.