I suspect that your current Macy's card is reporting to Canadian credit bureaus as you have a Canadian address on file. Once you change the credit card billing address to US, it will start to report to the US side. However, you are not able to check US credit reports online without a valid SSN. (You also cannot mix SIN with SSN) You may have better luck if sending a credit report request via mail to bureaus because they should be able to locate your file by name, DOB, US address etc.

SSN is just an index, not necessarily needed to build a US credit.