I think you can cancel it by just placing a rally point to the same city you selected. It won't appear any blue circle over the city indicating that all units produced there will remain there (as it would normally happen when placing a rally point to anywhere else) but the new units will still remain in the city awaiting orders. Once you do that, you'll see that the circle indicating the rally point to the first place has dissapeared. I may be mistaken but I'm pretty sure this is how it works.