Those embassies were closed with the outbreak of war; for example, the British Embassy in Berlin was surrounded by police and Gestapo personnel almost immediately, and within hours the entire staff had been moved to a hotel, before then being moved to a resort near the Swiss border and there exchanged for German officials similarly expelled from Britain.

Belligerent powers asked neutral powers to act diplomatically on behalf of themselves and their citizens. In Germany, British diplomatic affairs were conducted through the American embassy (until the United States and Germany went to war), while in Britain, the Swiss Embassy represented German interests.

Of course, both sides took measures to avoid bombing neutral embassies, but the technology of the day was not nearly as precise as our own; bombs landed on the grounds of the US embassy in Brussels during the German invasion of Belgium, and the US embassy in Belgrade was hit during the German invasion of Yugoslavia. The Germans also hit the Japanese embassy in London in September 1940. This is by no means an exhaustive list, but just an illustration that life in a city targeted for bombing in World War II was not safe for anyone, regardless of their citizenship.

At the outbreak of war the embassies are closed (if not already due to the gradual escalation of international tension) and the ambassadorial staff expelled or interned.

This means that what were the embassies would now just be random buildings that I can't see anyone making any effort to protect or avoid hitting which would be almost impossible anyway. Considering the accuracy of strategic bombing of the day they would have to avoid a city entirely if they wanted to not hit a particular building in them.

Even if the embassies had been open there's no way any effective measure could have been taken to avoid hitting them. The majority if strategic bombing before the US joined the war was at night - and accuracy was measured in terms of the percentage of bombs within miles of the target. And until electronic guide beams and path finding became better (and often even after) that percentage was surprisingly low.