In theory you could, however, you will not get any Federal and State subsidies and in fact, you will need to pay additional 2.5% custom duty. You will need to pay your sales tax/registration in your state and likely sales tax in Canada as well. There are also forms you need to file which you will need to convince VW to help you with the declarations.
yes, that is what I figured. It would be a rather expensive heat pump. OTOH, I wonder if it would be possible to drive my us-bought ID.4 up to Canada, have them install a heat pump along with the relevant software. I don't expect a definitive answer, just putting it out there.