If you mean state or province-designated holidays, as well as federal-designated holidays, then no, you don’t have a chance to choose those, they are designated by the province or state. Here are the ones in Canada. Why is this? That’s a great question. Likely it’s due to tradition, but there’s another consideration: why would anyone push for legislation to reduce or eliminate holidays where many people who have jobs get paid and don’t do work?
As for non-holiday holidays, such as if you wanted to take a break from work, it’s really up to the terms of your employment and what your boss says. Sometimes we have mean bosses who don’t let us take holidays when we want to. Sometimes we have nice bosses who let us take holidays as long as it doesn’t negatively affect the business and as long as you have vacation days put aside.