Zen, I don't know for sure, but I believe 10bag has it right.
The trade would probably show up in the Canadian volume if the American broker was buying from the Canadian broker in order to deliver to an American customer. But the transaction may occur with another American shareholder or if the broker himself holds some inventory of those shares and sells to you out of his inventory, then I don't think that would show up in the Canadian volume.
In fact, now that I think about it, I'm pretty sure I can remember an occasion or two where I bought 10,000 shares of a low-volume Canadian stock (via the pink sheet symbol), and yet the Canadian exchange showed volume that day of only 3,500 shares or something like that.
