Is there a Foglight rule which will alert when a monitored SQL Server job is cancelled?
No - there is no rule available currently to do this.
What can be done is to create a rule to query the "Run Status" of the job - see the "Job Messages" collection in the Foglight 5.5.8 - Managing SQL Server Database Systems - Reference Guide. The good thing is that the "DBSS - SQLJobRetry" rule does something similar. The "Warning" condition of this rule checks the last run status against a Foglight variable called "DBSS-SQLJobRetry_Low" which is set to "Retry". This rule could be copied, renamed and the copy modified to check a job's run status for "Cancelled".
For any for assistance with the above please contact Quest Professional Services.