Now I'm in Udon thani.

I got "under consideration" stamp with covid visa in Chonburi last month.
Can I go to Udonthani immigration to finish this stamp job? 
Or Do I have to go back to Pattaya?
 

You have to go back to the immigration office that issued the under consideration stamp
NO office that I am aware of will "close the loop" on a pending u/c stamp except the issuing office
SO
Your choice is go back to the office where you got the stamp, get the loop closed and the rest of the covid extension
OR
stamp out of the country on or before the date on the current under consideration stamp. <- I say that because you asked in another thread about going to Vientiane and getting a visa from the thai consulate there.
 

OP, most likely not an option but you do not have to return in person to obtain your stamp.