Why do we usually talk about a wall on the southern border and not the northern border? Simply because more illegals come over the southern border than the northern border.
Mexico’s border with Central America isn’t secure, and while they are far far tougher on illegals than we are, they only target illegals who try to stay in Mexico, not those who are just travelling through.
Not to mention all the Mexican citizens who decide to grab whatever cash they can from the United States to send home.
It’s a matter of the map logistics and who’s behind each border and what they want.
Canada isn’t suffering from corruption so bad that its people are desperate to escape by hook or by crook. Some of their policies really stink, but they stink more to conservatives who would far more likely to move to America the “right way.”