Cancel as in the customer clicks the 'cancel' button on the payment gateway page, most gateways provide this. For example opayo which is the gateway in question, if a customer clicks 'cancel' opayo sends an ABORT response however the issue is the plugin I'm using does not update the payment status, rather just leaves it as pending.
Nop does not provide a means for a customer to cancel an order as far as I can see. So now, the customer has a pending order in their order list and can do nothing about it.
This post was an attempt to figure out where the problem lies, is it nop or the plugin. I have had an email exchange with the plugin developer and concluded the problem lies with the plugin for not updating the status.