You were right about the Canadian connection, Kyle. The connecting points ended up being William Dobson and his wife Elizabeth Thompson of Nova Scotia, each 32 degrees from AJ. It was a surprise to end up there, because they are relatives of my husband's!
Here's the path from them to Elvis Costello:
William and Elizabeth's daughter Amelia Dobson
Her husband, Willis Heather
His brother, George Heather
His son, Victor Heather
His son, Aylmer Heather
His wife, Georgina Marsh
Her sister, Jean Marsh
Her son, Stephen Krall
His daughter, Diana Krall
Her husband Declan MacManus aka Elvis Costello, 42 steps from AJ.
There's probably a closer path, but this is what we've got for now.