You don't have to let them know about the pregnancy. However, if you stay outside Canada while giving birth, your baby will not get an automatic PR. If your baby is born in Canada she/he will be a born Canadian citizen. Plus, all the costs for the labor would be covered by the provincial government insurance, but some provinces require you to stay in the province for 3 months before you become eligible for insurance. In the US the only advantage is that your baby will have an American citizenship, but the labor costs may be high in the US. You need to prioritize, make a choice what is really important at the moment, is it possible to defer your studies in the US for a year or transfer to distant learning. You need to do a lot of research before deciding what to do next, but Canadian PR is not transferred automatically from mother to baby and sponsorship can be a lengthy process.