Are you sure there are no parishes that are close enough? Say 100 miles? Where do you live? If you don't want to disclose that info here, make sure you at least do a search using the official directory of SCOBA parishes, which is available online (thanks to certain good men at a certain Greek Orthodox Theological School!). Check it out: http://scoba.us/directory/
If there truly isn't anything around, you may be able to convert at this Serbian monastery, but everything will depend on the blessing of that monastery's abbot and its ruling Bishop. I know of cases where individuals have been catechized and received in monasteries, but it is highly preferable to undergo one's catechumenate in a parish.
Welcome to the forum and God bless!