At the end of episode 1 and at the beginning of episode 2 you see a German soldier capture Jean-François Mercier. If you watch the helmet of the German soldier you see the Belgian flag on it, instead of the German flag.
At the hospital, Mercier tells Ulm that he needs to go 'somewhere French, like Canada'. By the time of the movie's events, Quebec hadn't been a French territory for almost 200 years, and certainly didn't have its own diplomatic relations with France, which would have been necessary to ensure Ulm's emigration.