Look at your written contract --- it should spell out the respective parties' rights and which state's law governs, as well as how the parties have agreed to resolve any disputes that arise between them.
PLEASE READ THIS BEFORE YOU COMMENT, EMAIL ME OR PHONE ME. I'm only licensed in CA. This answer doesn't make me your lawyer, and neither do follow-up comments and/or emails and/or phone calls, and you shouldn't expect me to respond to your further questions if you haven't hired me. We need an actual agreement confirmed in writing before any attorney-client relationship is formed. This answer doesn't constitute legal advice, and shouldn't be relied on, since each state has different laws, each situation is fact specific, and it is impossible to evaluate a legal problem without a comprehensive consultation and review of all the facts and documents at issue.
How long ago was this? What did they say when they cancelled? It would depend, as Ms. Koslyn says, on any written contract. There really is not enough information here to answer your question. There are a lot of important details needed.
This response does not create an attorney client relationship and is offered for informational purposes only. Only a lawyer fully versed on the facts and circumstances of your case can properly advise you on the case. I am licensed to practice in Minnesota, not every state. You should always consult with an attorney licensed in your area on how best to proceed.