Once I got stopped by a cop in a tiny town in Montana. He wanted to know where I was headed. I said Portland, Oregon. He wanted to know what business I had in Portland. I said I was attending a law librarians' conference. Apparently that was not the kind of thing one would lie about, because he let me go at that point.

IMO claiming to be Canadian falls in the same category. Why would anyone lie about that? Or hold it as a delusional belief? Now if you'd said you were Martian ...