I imagine it must be incredibly hard to stay on the right side of the law in the US, although your client just sounds as if he hasn't fully understood how escort rates work; assuming you are charging for time (as is usual), you need to refer him to your website for your rates and explain that the fees cover the amount of private time you will be together, irrelevant of what happens during this period. If he is asking where this will take place, ask him if he wants an incall or an outcall (assuming you offer both) and proceed from there as usual.
Be careful with your wording, maybe just explain that you 'enjoy' some things and not others, depending on what he asks about. Don't get into a detailed/graphic conversation - if he is genuine he should not be trying to engage you in this sort of discussion on the phone anyway. Hope this is some help - I can understand you preferring to work in Canada!