Yes, surprisingly there have been many canceled video games, for various reasons. Here are some of them.
1.) Fallout: Van Buren
The original Fallout 3 was titled Van Buren, it was being developed by Black Isle studios but it was canceled in 2003 due to financial problems. The player would start as a prisoner, and escape due to the prison getting damaged. Parts of the story to this game were incorporated into Fallout New Vegas.
2.) Indiana Jones and the Iron Phoenix
A Indiana Jones video game that was canceled because it was not allowed to be released in Germany. Germany has strict censorship laws when it comes to nazism. The plot of this game involved a group nazis attempting to ressurect Hitler which was conflicting with Germany's censorship laws. Instead the game became a comic book.
3.) Brothers in arms: furious 4
Traditionally the Brothers in arms series was a realistic WWII video game but Furious 4 turned it into a sci fi game with a touch of inglorious basterds. From the day it was announced it got a lot of negative reviews, it's trailers in YouTube had more dislikes than likes. It's speculated that it's negative feedback caused it to be canceled. Most of it's features were used in the game called Battleborn.
4.) Fallout online
Yes, in 2011 a online multiplayer Fallout video game was in the works, it was being developed by interplay entertainment and Masthead studios but it got canceled due to the two company's legal issues with Bethesda.
A FPS game with multiple themes(horror, Sci fi, mystery, action, western and comedy). The first three time splitters video games had excellent gameplay, soundtrack and stories. A 4th one was planned but it eventually got cancelled because it was thought that the game would be difficult to sell to the publishers. Technically it's not known if there will ever be a new Timesplitters game since Timespliters 4 is "indefinitely postponed". A game titled "Timesplitters rewind" is said to be in development but not much is known about it.
6.) Tom Clancy's Rainbow 6 patriots
It would have been part of the Rainbow 6 series but since Tom Clancy sadly passed away, it was cancelled. Instead a game titled Tom Clancy's Rainbow six: Siege was released a few years later.