it depends on which state you live in.

The standard for some of the states to decide if you are eligible for unemployment benefit is whether you would be eligible to work in US. So, if you have a US green card, you will be eligible. However, if you are here on a working visa, chances are that you won't. However, you do have to check whether Canada has some type of reciprocal agreement with Canada to render the citizen from one country to collect unemployment benefit from the other. My feeling is that it is highly unlikely.