To legally purchase ammunition in the US an alien must have a US hunting license( license can be from anywhere in the US and any kind of hunting license) . I am unsure about the amounts that may be brought back but a quick check with Canadian Customs would clear that up. Last time I went through Canadian customs I had 5 lbs of powder. I was quizzed by the Canadian Customs if I had an export license but explained I had a hunting license and away I went.

Nothing is foolproof to a sufficiently talented fool.