Cancelled Sales Credit Memo

Are you talking about "Posted Sales Invoices" that have been cancelled, so you created a credit memo & posted it to reverse the entry?

If so, I would put on the Credit Memo in the External Doc No. or enter it in the posting description "Order Cancelled" to "mark" a credit as being apart of a cancelled order.

Plus if you use the Apply-To fields you will have the invoice# of the sales order you are cancelling.

Then all the info you need in a report can be pulled from the "Posted Credit Memo"

Yeah, you'll want to check the credit memos and see what they apply to. You can also check Customer Ledger Entries and see if the entry was closed by an entry that is a credit and not a payment.