US Immigration finds it difficult to accept that I am a Canadian citizen (and have Canadian passport) yet I've never lived in Canada nor do I have a Canadian SSN nor do I have an address in Canada nor have I filed a tax return there (my father is Canadian but I was born in UK).
There's an easy fix for that. Get a Social Insurance Number and file a tax return. As a non-resident with no Canadian-source income, your tax return should take less than 5 minutes to fill out, and you won't owe any taxes.
You are a Canadian citizen. I think it's fair that they would look at your situation (a Canadian who hasn't lived in Canada and never paid taxes, etc) as something unusual. This is the type of thing immigration get's bagged on all the time when something goes wrong. If all it takes is a few simple things from you to establish yourself a bit more, why not do it? Would save you a lot of hassle. Not doing it just doesn't add up.
Simply: Don't get all self-righteous. It's a small thing.
There's an easy fix for that. Get a Social Insurance Number and file a tax return. As a non-resident with no Canadian-source income, your tax return should take less than 5 minutes to fill out, and you won't owe any taxes.