Yeah, you must be right. The web search does not turn out anything either.
Seems like he actually may have had a cottage in Canada, but way up North in Quadeville, Ontario.
The best Al-Capone-in-Canada story, for my money, concerns the little village of Quadville deep in the hardwood bush of Eastern Ontario. Out on gravel-covered Letterkenny Road is a log "fort" hanging off the side of a hill that locals claim was once Al Capone's secret hideout.