James Bond in Canada.
From my very limited recollection so this is hardly a claim to completeness. The only mention in the books I recall is in The Spy Who Loved Me. Bond had just finished some assignment in Canada and was driving through upstate New York where the novel takes place. The female was also apparently Canadian.
In the movies a few mentions of Canada but never any visit to it in any of the plots. The spectacular ski jump that opens The Spy Who Loved Me was filmed in the Canadian Arctic.
Which is kind of odd given that Ian Fleming went to spy school at Camp X in Canada.