But but but Angel....do you really expect a border guard to be able to correct you on such a fine linguistic point?! [snob-e] (O dear, I can hear all the border guards blowing raspberries at me from here!)

I only ask because whenever I cross the border and get asked my nationality, I say, "Canadian" - and they've never corrected me, either.

I would always answer "Canadian" if asked my nationality; if asked my country of origin, I would answer "Canada." To me, the former question begs for an adjectival answer, and the latter for a noun.