I suppose it could be up to interpretation. I'd say Canada borders the US to the north and the US borders Canada to the south. But hey, we're the country that put the month before the date, so I could have the wrong view of things.
And truly, I didn't doubt that know you knew where it was, but I was pointing out the problem with the construction. Like "I am seated next to you on the left
1) Canada borders the USA to/on/in the south. For this specific sentence, in is best, since it is not clear WHERE the speaker is at, so if you said, Canada borders the USA to the south, it could be interpreted as Canada is to the south of the USA. (not correct...but you knew that ^^) Using "on" just creates more confusion, as well.