Is it possible to consolidate music bought from iTunes Stores in different countries in a single device? My main account is on the Canadian iTunes Store but I would like to buy albums that are only available on the Japanese and UK iTunes and have everything together on an iPad. Is it possible to switch stores on the Windows iTunes app, buy these albums, and then transfer them over to the iPad? Or even better, would I be able to download these albums from my account on the iPad directly? Regardless of which country's store they were bought from originally?
Yes, it is possible, but it may not be entirely convenient (only you can judge how convenient it is for you).

In summary, the process involves:


Changing the iTunes Store in your Windows iTunes app to the Japanese store
Registering for a Japanese iTunes Store account (you cannot use the same one you use in Canada)
Purchasing the music you want from the Japanese iTunes Store
Syncing this music to your iPad


Notes: 

1 You will need to repeat the above process for the UK iTunes Store.

2 The process of creating accounts in the other stores is not too hard, but you will need to follow specific steps if you don't have credit cards issued in Japan and the UK.

3 Assuming you want to purchase music that isn't free, you will need a way to do so in the correct currency (either with credit cards issued in Japan or the UK, or by redeeming iTunes gift cards that are sold in their respective countries).

In summary

You cannot use a credit card and/or iTunes gift card you obtained in Canada for the Japanese or UK iTunes Stores. Also, you will need to switch between stores to browse/purchase content. Finally, when syncing the music to a device you will be prompted to enter the ID and password of the account used to purchase the items you're syncing.

So, as stated above, it is possible, but only you can personally decide whether it is too inconvenient for you.