Yeah, most of the time, you'll have to redo your MA, regardless of whether you do it in the states or another country. Sometimes programs will allow you to transfer your MA thesis, with the approval of the psychology department and often you'll have to defend it again. Sometimes you'll be able to transfer some courses, but often it is limited to 6-9 credits that you can transfer.
There are good funded MA programs in the U.S. - for example Villanova and Wake Forest. If you got into one of those programs, at least you wouldn't be losing as much money.
There are some awesome Canadian schools, like UBC and UT. I'm not sure how they are on transferring MA courses, but maybe they may be more inclined to let you do it? I'd look into that as well.