Hi,
Normally, when the user cancels the payment and returns to the checkout with his order cancelled, he can choose another way to way and click on finish again to go the the other payment plateform for the payment. The system will just recreate a new order with the exact same data as the first one except for the payment method.
So it does what you're talking about.
Nevertheless, if you want to not have the cancelled orders, you can remove the line:
$class->save($newOrder);
in the file components/com_hikashop/controllers/order.php
That way, the order will stay created.