Being Canadian, one of my favourites is the mystery of Shag Harbour.
Canadian military forces in October 1967 reported the impact of a foreign object in the bay of Shag Harbour. After an extensive search that involved both the air force and the navy had apparently not located anything. This is one of the few cases where it has generated a government record that there was an unidentified flying object. The case was investigated by agencies including U.S. without providing any explanation.