As others have written, there's obviously tons of American and Canadian players with non-anglo (or French) surnames. The thing is, they usually have more typically English first names like Joe Sakic, Steve Staios, Scott Niedermeyer, Tie Domi, Keith Tkachuck, Devan Dubnyk, Kyle Palmieri, Joe Pavelski, Zach Warenski etc. Growing up in western Canada, those kinds of names (my own included!) were incredibly common. I'd never assume those players were actually Poles, Croats, Ukrainians, Germans, Italians, etc.
It's when both names sound European that I'm sometimes thrown off. Milan Lucic for instance was one. Or Wojtek Wolski. One which surprised me more recently was Marco Rossi (Ottawa 67s / Minnesota Wild pick). The name is obviously super Italian - but I actually just assumed he was either North American (think Fernando Pisani) or maybe Swiss. I definitely wasn't expecting Austrian.