Print issue with Illustrator (and Photoshop); yellow instead of red

I'm trying to print a file that has a simple red inscription.

I exported it from Illustrator as a .jpg file checking the box "use artboards" and selecting CMYK as color model, with the idea of printing it from photoshop so I can see on my monitor the right dimensions of the printed document.

But when I open the .jpg file with Photoshop, I got this error:

https://i.imgur.com/COGbz0d.jpg 

No matter which option I choose, in Photoshop the red is red but when I print it is yellow on the sheet of paper.

I tried to print selecting both color managed by photoshop and color managed by the printer but the result is the same, yellow on paper.

I tried to export the file from Illustrator in the same way described above but selecting RGB instead CMYK as color model.

Now when I open the .jpg in Photoshop the error of working space doesn't appear but the print is still yellow.

Then I tried to print directly from Illustrator and the red was still yellow on paper!

So at this point I was thinking that the problem was my printer (Canon MG6850) but if I print the .jpg file simply right clicking on it and selecting print, the print is red as it should be (but not with the correct dimensions).

I know that maybe the problem is more related to Photoshop than Illustrator but I'm not an expert so I posted also here in case there was some conversion to be done on illustrator.

I don't know what to do.

What's the problem?

How can I solve?