There are ways to import a new car into Canada from the US but it is not always easy (depending on make and model). In order to title it up here you will need to have certain work done on it to make it meet Transport Canada regulations. Your leasing company, which owns the car, may not allow it. If they do allow it, they may demand that you return the car to US spec when the lease is up.
Also, you won't get it titled until the taxes on it are paid (HST, import duties, etc.). I don't think the leasing company will pony up for that.
In order to have the warranty honored up here you may need to have that work done at a BMW dealer. That may not be cheap and the leasing comapny may demand it to protect their investment.
Will the leasing company even allow the car out of the country? That may depend on how difficult they think a repo might be from Canada.
I'm not so sure this sounds like a good idea.