Some of the US states do not allow exchanging the Canadian driver's license to the US license.
I don’t know of any state that doesn’t recognize Canadian DLs for exchange. There may be a problem showing your legal presence in US (having a valid visa or something like that). Why don’t you apply for a new DL if you have a visa? Here is the list of documents they acceptSome of the US states do not allow exchanging the Canadian driver's license to the US license...