I don't know much about postgres, but as I understand it, it's a pretty standard server application. Read a request from the client, work on the request, send the result, read the next request.

Changing that to poll for a cancellation while working is a big change. Also, the server would need to buffer any pipelined requests while looking for a cancellation request. A second connection is not without wrinkles, but it avoids a lot of network complexity.