Well, if you're thinking of the Muppets as real characters (they're not! *sob*), then it would depend on who you listen to.
For example: In his interviews, Kermit swears that he and Miss Piggy were not married in Muppets Take Manhattan, and that it was all just a movie.
Miss Piggy, on the other hand, in her interviews says that they WERE married in Muppets Take Manhattan.
It all depends on who you'd rather believe.
I'm going with Kermit on this one. (my main Frog!)
I think The Muppet Show is included in cannon, but, with the Muppets, what is? Probably nothing. They're just actors.
Scoot