It is said on Service Canada’s website that EI claimant may be able to travel outside of the country while on EI. If the travel is over the weekend, then you will not have any problem. EI processing does allow someone to conduct same day boarder crossing to United States without being disentitled from their EI claim. Here are the few examples of the acceptable situations:
Visiting friends and families
Shopping and restaurant eating
Gas filling trip
Travelling for a paid work
Technically speaking, as long as the boarder crossing activity is short and does not interfere with your job search activities, you will see no problem crossing the boarder while on EI. However, if your border crossing activity is frequent, you might need to call EI call centre to have an agent to refer your case to processing for approval.