A US Firearms Dealer CAN make a sale to a non-resident alien under SOME circumstances- for example- you come down to North Dakota to go hunting, AND get a North Dakota Hunting License. However, if you are asking can you drive down to a US shop, pick out a gun, pay for it and leave? No.
You may NOT acquire a firearm from a private party that is not a dealer.
AFTER you make a purchase, you will have some issues to deal with re: Canadian Customs, importing firearms into Canada, etc. THAT you will need to discuss with Canada Customs. You may also need an export permit from the US.