I dont think it is a problem
Myself and my family have permanent resident status in CANADA. And I know many people who are permitted to choose US consulate in Montreal Canada, as their Consulate of Choice, because of their PR Status, even though they are still living in the US. But Theoretically, one cannot maintain both US and Canada PR(except for the new canadian immigration rules, which will permit you to be outside the country for up to 3 years in any given 5 period). Again, US does not seem to care about your multiple citizenship/permenent rsiedency status, as long as you par with the US immigration rules(by not being outside the country for more than 6 months without Permit)
Hope t his helps