Many types of Canna are hardy, but some are not. The standard white Calla lilies generally are quite hardy, but the colored varieties rarely survive outside over winter. These bulbs can be dug and stored in perlite, sawdust, or some similar material. Sometimes it is hard to tell if the tubers and bulbs that died froze or rotted from the wet cold winter. One trick I've had relatively good luck with, is to cover the bulbs and tubers, left to over winter in the ground, with evergreen fern fronds.
Fronds make good insulators, and they have the added advantage of repelling water.
I generally pile the fronds about 2.5 ft thick over the tubers or bulbs that I am trying to protect. Put a heavy stick or stone over the fronds to keep them from blowing away. This doesn't guarantee that they will make it, but I've had pretty good success over the years using the fern frond technique. Good luck protecting your plants. Then, your local nursery person will be happy too.