Yes, for clarity to those not aware of Canadian geography I would say Saskatoon Saskatchewan or Calgary Alberta especially on an international stage, but for the most part cities, towns etc. are just refered to as Saskatoon or Calgary or Banff or the center of the universe Toronto
It always sounds weird to me when someone says, "Vancouver, Canada."
I guess it depends on where you are in relation to the country and how well you know it. We don't say "Sydney, New South Wales", we say "Sydney, Australia".