I guess it depends on what you're making the canopy out of?
I'm assuming wood, but you did not say. Wood can be stained with anything as long as you cover it with a varnish or sealant of some sort to protect the wood from the elements. You could get a stain/poly combo and just have one step.
I painted my canopy, so I used a sealing primer, then paint. So, I just skipped the stain portion altogether.