First of all Canada only offers you a legal status to stay there. Getting a job over there is 5-10 times harder compared to US. So if you think you might have issues staying legally in US then consider Canada; if you can continue your studies and find a way to stay here legally then forget Canada.

Now going to Nepal is a personal decision. Chances of getting a job in your field over there is 10-100 times harder.There are just too many bankers and accountants there. If you had an experience in US that might have helped but with just studies and internship  you are just a part of the crowd of tens of thousands of applicants for another job.

My suggestion is to try to get a job here. Enroll in masters and keep trying. If you get a job work few years then go back to Nepal. If not then you have to goto Nepal anyways.

This way you will avoid a lot of headache and depression for your decision to "abandon US prematurely." Atleast you can say you gave it a try. Whatever you do, remember that you want to go back to Nepal ultimately.