Not too far from where he was apprehended is the St. Regis Mohawk reservation. That res sits half in NY and the other half in Quebec. Had they gotten there, getting across that river would have been fairly easy.
Getting to Canada would be no guarantee of “freedom” but certainly, there would not be 1000 NY State Troopers, ATF, CBP, etc... pursuing them. Quebec especially would be a bit prickly on their sovereignty with 1000 armed American government forces crossing their border.
TV and news is also different, as well as language. They would much less likely be recognized.
Assuming he was captured close to Malone, NY, he was 30 miles and a 5+hour walk to the nearest Canadian town, with no difficult river in between ... maybe thousands of NY cops, but no swimming issues. It appears walkable. Do a google map from Malone NY to Elgin QC.
I’m surprised they didn’t head for the reservation in the first place. Although the place is surrounded by a lot of LEO because of all the drugs coming in over the St. Lawrence Seaway. Many speedboats around there. Just like in the old days of Prohibition. BTW it’s Ottawa at that point. English speaking.