It’s more than likely that your Australian bank won’t send messages abroad, since banks pretty much think there is only one country on earth (their own) :) 

You should contact them, and perhaps invest in an Australian VoIP number that can receive messages.

Did you check if your Australian back allows 2FA to Canadian numbers?

Thank you so much Sophia, I bought an Australian Virtual Mobile number can use it to get sms from my bank, and it works. Thank you again.

Except as I’m finding in my own issue (mine is being flagged when it isn’t), many services only want to send to “real” phone numbers and not VoIP numbers on whatever lists they have.