You can do that by setting Focusable="True" on the canvas and set the focus on the Canvas from the start (myCanvas.Focus() somewhere in the window's constructor or loaded event). The problem is that if another element receives focus during the application's lifetime, you will not receive the keyboard events on the canvas.
Another way is to set the event handler up in the hierarchy (in the parent Window) - because of the tunneling/bubbling you will get the event no matter where the focus is in the window. I think in this case PreviewKeyDown is even better - you will get the event before any child will process it.
You need to have an element that can accept keyboard input within your Canvas for the KeyDown event to occur. I'm able to get the KeyDown event to fire by doing the following:
private void CreateAndShowMainWindow()
{
Canvas myCanvas = new Canvas();
myCanvas.KeyDown += new System.Windows.Input.KeyEventHandler(myCanvas_KeyDown);
If you just have UIElements that can't receive user input (like a TextBlock or other UIElement) and you try typing anywhere in the Canvas the event doesn't get raised.