http://www.travel.state.gov/visa/temp/info/info_1294.html#noobjection
Q. I came to the U.S. from a country other than Canada on a J-1 visa, and after completion of my J program I moved to Canada and acquired landed immigrant status in Canad
A. Which country am I subject to return to for my two-year residence requirement -- my former country of residence or my current one, Canada?
A. You are subject to return to your former country of residence. J-1 regulations stipulate that an exchange visitor is subject to the country of his/her legal permanent residence at the time that the visitor acquires the J-1 status. The visitor must return to his/her former country of residence in order to fulfill the two-year home residence requirement or he/she must receive a waiver of the requirement.