No, that's not how you should handle that.
When an order is created, it doesn't mean that it has been paid. The order is considered as paid when the system receives the payment notification from PayPal. At that time, the order status becomes confirmed, and the user gets a confirmation email and you get a payment notification.
So that's why there is no email sent when the order is cancelled. Since the payment has not been made, you can just ignore created orders.
The "order cancel" email is for when you allow users to ask for their order cancellation via their order listing so that you, as the shop owner, get notified that a client wants a refund.