Google "Tornado Alley"-- you typically get maps that are restricted to the US, such as the one at the left. Do tornados start and stop at our borders? No, Tornado Alley does extend into Canada (right), and some tornados originate in northeastern Mexico; the storm that spawned the large Eagle Pass, TX, tornado in 2007 produced a tornado in Mexico before moving into the US.
*Moisture for these storms originates in the Gulf of Mexico, and it is pulled northward where a trough of low pressure often sets up east of the Rockies in Alberta, Saskatchewan and Manitoba. The area of enhanced tornadoes in Ontario is enhanced by the flow of cool air from Lakes Huron, Erie and Ontario. Tornados in Canada may be under reported because of the low population density in places. On average, Canada has about 80 tornadoes per year compared to nearly 1300 in the US, and 2 deaths/year compared to the average of 62/year in the US. One F5 tornado occurred in Canada, the Elie, Manitoba, tornado of June 22, 2007.
*This information from http://www.weather.com/blog/weather/8_12879.html