Staff in non-US-Canadian border station may not know this rule

If you have never been issued an H-4 visa or in H-4 status before, they may ask you for your own H-4 I-797, which doesn't exist.
In theory, your Canadian Passport plus your spouse's I-797 plus your marriage certificate should be good enough. Don't be afraid to ask to see a supervisor, if necessary, ask them to conference anyone in CBP on Canadian border who is familiar with the situation.
If they insist on denying your entry as H-4 and if you don't have pending I-485, you may ask to enter as Canadian Visitor, and later your may go to a bigger CBP border station to change to H-4. As Canadian citizen, you may do it in any border station in any airport.