Not sure what natural materials you are considering, especially this time of year in northwest Ontario (I assume province, not city). Summers will not get hot but winters can be kind of brutal. Not sure how many you are looking at doing, what the area you are putting them looks like, or how skilled you are with crafts. And your little darlings will be helping. Good for you.
Nests do not necessarily have to have a top. Consider using native rock. I'd want to mortar them in place or somehow fix them so they are very stable.
Consider cutting tree branches and using a natural cordage, maybe sisal twine. Our boy scout troop built tables, drying racks, and other things from tree branches and sisal.
Use your basket weaving skills to weave a nest. You could do an open top or maybe turn it on its side for the opening. Maybe use rushes or reeds if not tree branches.
Just a few ideas. Let us see the results.