Is it possible to create a new webpage similar to the submission page that directs users to if they cancel a form?
How do the users cancel a form for you? You can redirect users on the 'Thank You' page to a different website.
Are you storing form data in a database and then doing a lookup for which ones to cancel? If so, you can just create a separate process to do this.
The use case for this button is simply to cancel and close out the form instead of submitting. It is not intended to close out/cancel a running business process at all. Let me know if you need further explanation.
I think you are right, Chris' example would work for user tasks, but not a message start event. Your approach sounds valid though. The Thank You page only appears when the form is actually submitted. If you added your own cancel button, you would need to have that link to your own custom cancel page.