Tennessee won't go to Canada as Tennesee is sadly too red a state. I'm a Tennessean by birth and part of the Appalachian diaspora. What's happened to Tennesee and Tennesseans is heartbreaking. But Tennesseans did it to themselves. Cold hard truth.
I'm in Arizona now. Arizona would likely go back to Mexico, form their own nation, or stay with the US, or split apart as a state with different regions making different choices. I don't think Canada is a viable option though. Arizona is purple and Arizona has a conservative evangelical problem as well.