Hard to talk about since Sealion is impossible.
Indeed, although I'm somewhat interested in what happens in the United Kingdom in the aftermath of a failed Operation Sealion. I'm sure even a failed invasion attempt would have some impact on the conduct of the war thereafter. Though the plan was so bad, even having Hitler order the invasion carried out may be ASB.
To answer the original post, yes. If the Germans conquer the UK by invasion, there's probably a strong likelihood of a Government in exile somewhere, and Canada is a good place for such a government to be located, since I think such a government would be at least somewhat reliant on support from Roosevelt's United States. I'm not sure who would be running the UK In Exile, since if he lives up to his rhetoric, Winston Churchill may be killed during the invasion.
However, as posters have discussed again and again here, Operation Sealion was a terrible plan, that had little to no chance of success, so you aren't likely to procure a UK in Exile scenario without the help of Alien Space Bats.