The new connection made by PQcancel does not use the tcp_user_timeout, connect_timeout or any of the keepalive settings that are provided in the connection string. This means that a call to PQcancel can block for a much longer time than intended if there are network issues. This can be especially impactful, because PQcancel is a blocking function an there is no non blocking version of it.
I attached a proposed patch to use the tcp_user_timeout from the connection string when connecting to Postgres in PQcancel. This resolves the issue for me, since this will make connecting timeout after a configurable time. So the other options are not strictly needed. It might still be nice for completeness to support them too though. I didn't do this yet, because I first wanted some feedback and also because implementing connect_timeout would require using non blocking TCP to connect and then use select to have a timeout.