I am not sure on this, but I believe that Canada and the U.S. have an info sharing system, so I don't think the OP should tell the CBP officer he is "coming to the U.S. to go to Canada." Because this will lead the officer to believe that the purpose of entry to the U.S. is for transit, which will cause questions such as where is your onward ticket? So you have proper papers to enter Canada? etc. If it leads to the point where the CBP officer realizes you are coming to circumvent the PRTD rule, they may inform their Canadian counterparts. (Which would put a dent in whole flying under the radar idea.) I would recommend not to attract unnecessary attention to yourself.
Note that if your question on what to "tell immigration" is related to the visa application process, saying you want a US visa to enter Canada, without proper papers to enter Canada, is virtually a guaranteed denial. Even if approved, a transit visa does not allow you to exit the airport, which will mean you can't reach the land border. Apply for a tourist visa.
As regards to your question on whether or not you can enter Canada, the answer is an unequivocal yes. Once physically on Canadian soil, as a PR you cannot be denied entry into Canada. The only recourse the officer has if you are inadmissible is to write a report while may arise in a Departure (Leave Canada in 30 days) order. This is not immediately enforceable and you can appeal, until your appeal is sorted out you are a PR with full rights.
