No, as a Canadian citizen with USA residency you do not HAVE to file a Canadian tax return for this interest if you include it on your USA return. But you could if you wanted to.
The text I quoted below is from the USA Canada tax convention establishes that the tax liability may be paid only in the state of residence. (thank you brian who provided the link in the comments of another answer.) My interpretation is that the decision of which state (Canada or USA) to pay tax to would be up to the tax payer.
"Contracting State" is one of the two countries that agreed to this convention, USA or Canada.
The expression "Contracting State" refers to a State which has
consented to be bound by a Convention, whether or not that Convention
has entered into force for that State (see Art. 2(1)(f) of the Vienna
Convention referred to above; this is in contrast to the term "party",
which refers to a State that has consented to be bound by a Convention
and for which that Convention is in force).
The tax treaty itself, followed by text of its relevant sections:
This Convention is generally applicable to persons who are residents
of one or both of the Contracting States.
- Interest arising in a Contracting State and beneficially owned by a resident of the other Contracting State may be taxed only in that