This matter is under review, and may change in the future. While it is not unlawful, the trouble is that the application to extend a non-immigrant visa asks whether an immigrant visa is pending. Hi, I recently found out I have a claim to US Citizenship. I live in Ontario, Canada close to Detroit. The Consulate or US Passport Office does.
Adjustment of status is in lieu of consular processing.
First you must be certified by the Department of Labor. Then your employer must file the immigrant visa application. If you are no longer in status, the I-140 approval should be sent to Canada. Otherwise, if you are still in status at the time the I-140 is approved, you should apply for adjustment. Generally you cannot simply go back to Canada and wait for adjustment to be approved.