I'm thinking of going to Canada next year.

Literal

Next-year, Canada [to-に] go-want-[quotative-と] think.

A softer variant of the 'thinking of going' pattern: here with ~たいと思う ('I think I want to') instead of ~ようかと思う. Both express tentative intention, but ~たいと思う is a more direct statement of desire filtered through 'I think.'