You only need to assume that $A$ is a closed subset of $\mathbb{R}^N$ and then construct an extension of $f$ so that it is locally Lipschitz outside $A$. Something like what I explained in http://mathoverflow.net/questions/100693 should work (extending by hand using a Whitney decomposition). Now the extended mapping is locally Lipschitz exactly outside the same exceptional set as the original mapping. One has to be careful with the boundary points: if the original mapping was locally Lipschitz at the boundary, the extension is also (because of the way it is constructed).
Edit: Only know now I noticed who was asking the question. You can drop by my office to discuss more, if there are any problems with the extension. :)
