Greg uploaded "Shiloh Threatened Me" in July 2011. In the video, he explains that he fled his Washington home because of Shiloh's threats. In the video, he mentions that he is afraid of people she knows that want to hurt him. (Source)
After watching the video, some viewers were left scratching their heads about Greg fearing Shiloh and these unnamed people that want to hurt him. Many began to refer to these people as the "Canadian Mafia". The term caught on so fast that Shiloh even wrote about it in her blog post reply to Greg's video. (Source)
The "Canadian Mafia" rumor was even mentioned in web articles written about Greg and Shiloh's relationship. (Source)
After this particular drama had settled, people would often use the term as a warning in a joking manner. An example would be, "If Greg is thinking about going to Canada, he better watch out for the Canadian Mafia."
After 2011, the joke essentially disappeared and is no longer really used.