You need to call them and ask:
http://www.servicecanada.gc.ca/eng/ei/types/maternity_parental.shtml#eligible
Am I allowed to leave Canada while receiving EI maternity or parental benefits?
Yes, you can receive EI maternity and parental benefits while you are outside Canada. However, if you leave the country, please let us know by calling 1-800-206-7218 (TTY: 1-800-529-3742) and pressing "0" to speak with a representative.
Absence from Canada
Although you can receive EI maternity and parental benefits while you are outside Canada, you usually cannot be outside Canada while you are receiving other types of EI benefits.
One measure we take to enforce this rule is to compare EI information with information from the Canada Border Services Agency. If we find you have been out of the country while collecting benefits, we will determine whether you were entitled to receive those benefits. If you were not entitled to receive them, we will calculate how much we overpaid you, and you will then have to repay the benefits.
We may also impose penalties of up to three times your weekly benefit rate or three times the amount of your overpayment. As well, you may have to work more hours or, in the case of self-employment in fishing, you may need more insurable earnings to qualify for benefits in the future.