If you purchase a car in New York and tell the dealer that you will export it out of the state, you should be able to claim exemption from the New York sales tax. You can probably obtain a temporary license tag to drive the vehicle, but it would only be valid for 30 days or less. Unfortunately, the dealer will require you to give him your home address. If you give him a Canadian address, he will refuse to sell you the car, because he has instructions from the manufacturer to not sell cars to Canadians.
If you give the dealer an address in Pennsylvania; the dealer might accept that, but you might be technically violating the New York laws by using a fraudulent address to obtain the temporary license. If you actually register the car in Pennsylvania, you will be required to pay the Pennsylvania 6% sales tax;
I do not know the Canadian laws regarding the importation of autos or the laws about driving a car without Canadian registration. I believe there is a Canadian government web site that provides such information:
If you buy a new car in the USA and import it into Canada, you might be violating the terms of purchase which could make all of the manufacurer's warranties invalid; You should carefully research that before you proceed.