I've actually had this conversation with friends before. We went to dinner and a show in Windsor last year...joked about taking a "trip abroad". Or, since we did cross a body of water, "overseas". (OK, so it was a river...)

Outside of a joke, I'd never use "abroad" for Canada or Mexico, or anything Caribbean. Technically Webster may give me the right to, but it still sounds silly. Just like I probably wouldn't say "overseas" for Hawaii or the Caribbean, even though it technically is. It'd bound to gather some rolled eyes from your audience.