Per the IRB

A claimant's behaviour after leaving his or her country, but before arriving in Canada, may also be taken into consideration in determining whether the subjective component of a well-founded fear has been established. Failure to seek the protection of another country which is also a signatory to the Convention may be a significant factor to consider but is not in itself determinative.
...
There is no provision in the Convention that obliges refugee claimants to seek asylum in the first country they reach.(Menjivar, Carlos Othmar Navarrete v. M.C.I. (F.C., no. IMM-9660-04), Dawson, January 6, 2006; 2006 FC 11 at para. 33.). However, there is a presumption that persons fleeing persecution will seek protection at the first opportunity, which would normally be in the first country they reach. Case law states that a negative inference can be drawn from a claimant's failure to claim in a safe third country, but it also clearly states that this failure cannot be a determinative.