Donald McPhee, 22, b Alexandria, living same, merchant, s/o Donald D McPhee & Barbara Flanagan, married Mary Catherine McDonald, 22, Alexandria, same, d/o Duncan A McDonald & Severguin? H Macdonell, 21 Apr 1903, Glengarry.
If he was born in Ontario, they couldn't throw him out. Maybe he fled the country? He wouldn't have been accepted into the US if he had a criminal record. Maybe just a family story?
I don't see any Donald, Mary or Mary that have crossed the border that fit your people.
Birth of child/children of Donald McPhee & May/Mary Catherine McDonald, Glengarry County from Ancestry.ca
Mary McPhee, b 30 Jan 1909
McPhee, stillborn, female, 1 July 1908
Muriel Georgina McPhee, 16 Mar 1904
Children all born Alexandria Glengarry.
Muriel McPhee died 28 Sep 1904, 3 mths, convulsions from diarrhoea, Alexandria Glengarry.
I don't see them on 1911 census but have a look on www.automatedgenealogy.com