i don't think Serena could even think about staying in canada - at the moment she is still in 'that would be betrayal' mode; of husband, country, faith etc.
I think she has a great deal of pride yet to swallow too. She created Gilead (with others), this was her ideal, her religious paradise, everyone would be happy in their role. it would take a huge amount of strength to go cap in hand to Canada and admit she was entirely wrong. And serena isn’t running on full strength right now. She has just been beating severely by her husband, she is in shock and fears of a repeat for stepping out of line again, her baby is about to be born and she wasn’t with it. Also, she didn’t exactly get a warm reception in Canada, how does she know the man she spoke to didn’t want to stick her in prison? Or have her spirited away and secretly killed? Or maybe even spying for Gilead?