I think there actually is unwinding code that tries to do this, but apparently it doesn't work. I'll make a note for myself to test that again sometime.
This is currently not implemented, I found out. I also remembered why -- the protocol for canceling requests is rather cumbersome, and at the time I didn't feel it was important enough to implement. See http://www.postgresql.org/docs/current/static/protocol-flow.html#AEN80105 for the details.