I'm not usually a fan of Canadian shows, but there are exceptions. Corner Gas is a glowing example. It is one of the funniest shows I have seen in a long time. I advise you all to watch it once or twice.
The problem with most Canadian shows it that they go out of their way to make you know that they are a Canadian show. It gets annoying. I mean, what's the point who cares if it is a Canadian show or not unless, like the majority of people, you avoid Canadian shows. My tip is go ahead and set the show in Canada, but don't make the theme of the show about being in Canada, or being Canadian. Good Canadian shows accept the idea that being set in Canada is a fact, not a thing that makes the show any better.
Corner Gas is set in the fictional town of Dog River, Saskatchewan. It could just as easily be Dog River, Arkansas. All they would need to do is fire the Native RCMP officer and hire a Black sheriff. I guess they would have to do a find/replace on Toronto for New York and then they would be set. Actually comparing New York to Toronto isn't really fair. Maybe they would have to use Philadelphia or something not as good as New York, but that really wants to be.
What I guess I am really getting at is the fact that no matter where you are, the straight man can make all the same observations about the weirdo's and it's just as funny. Nationality doesn't make much difference. Making it a plot device or an important part of the story is a boor. Setting should only be setting.