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Because there is always someone will know that I am converted to different religion. Whereas if I go to different country nobody will know about my situation. Thanks for answering

Now this does not make sense. You are in another country. You are in the US right? Who says no one will know in Canada or any other country for that matter? How will you prove that no one will find out if you move to Canada?
 
I do not know anybody in Canada

So that means you cannot claim asylum at a Canadian port of entry (Canadian border) due to the safe third country agreement. You are required to claim asylum in the first safe country you reach - which in your case was the U.S.

If you want to claim asylum in Canada, you'll have to enter the country illegally - which will result in you being detained while a background check is completed. Entering a country illegally may complicate things significantly for your future - keep in mind that there's absolutely no guarantee your asylum claim will be accepted.
 
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