No, we have five refineries already in North Dakota and Montana.
But we are not short on refinery capacity. The US has become a net refined product exporter. We are short on refinery input, not refineries.
What we would also need to build, if we built a 500,000 BPD refinery near the Canadian Border, is refined product pipeline instead of the crude oil / bitumen pipeline. The demand for that refined product in that quantities is still going to be a lot of pipeline.
Refineries also produce more than gasoline / diesel / jet fuel. They produce chemical plant feedstock and that market is mostly down at the Gulf Coast.
They also produce refinery "leftovers" that don't ship by pipeline, petroleum coke or residual oil. That market is far away as well.
A modern refinery requires hydrogen for multiple units. Around the Gulf Coast we have Hydrogen Pipelines so that not every refinery needs to produce their own. But a new large refinery up there would have to add hydrogen generation units as well.
A large refinery also requires a significant amount of electrical power. That would have to be added if you are not going to use an existing refinery.
Bottom line, it would cost a lot more money to build a new infrastructure along with the new refinery compared to building the pipeline to the existing infrastructure.