Cancelled Episodes are exactly what you think they are, cancelled DP shows. Half of the time, they are cancelled due to TJ having sexual intercourse with Scotty Cena. It is said that the average DP fan will murder everyone in plain sight if they find out that a show is cancelled.
Back when the live chat was still around before the show aired, people would often try to confuse other fans by saying the show was cancelled even if it was not. This was usually after a short delay.