PostgreSQL: cancel query from C/C++ program
I looked at the implementation of PQcancel. It creates a separate TCP connection to the server, that's why it is blocking. This code part is exactly the same in the newest version of PostgreSQL too. So I concluded that there is no way to make it nonblocking other than starting the cancel in a separate thread. This is also the preferred way of using this feature, as the cancel object is completely independent from the connection object thus it is completely thread safe to use.
It sounds like you are doing this on a blocking connection. Check the documentation for PQsetnonblocking, set the connection to non-blocking and you should be able to get PQCancel to return immediately. But it will also make all operations on the connection non-blocking.