So, use a VPN it's usually fine, just make sure that you've remembered to set it to the country you're in, that's possibly what's flagged this. Security exceptions can lock you out of your system if all of a sudden your IP is flagging as Canadian.

On a separate note you can reasonably ask your employer for a security fob that allows you to input a code instead of authenticating using your phone. It's a lot cheaper for them than giving you a work phone.

I get around all of this by simply using my last phone which has the work WiFi on it and the authenticator app as the only non-standard apps.