Odd, as I thought that trains cancelled (and tubes are trains) got removed from the system.
Cancelled trains are removed from the timetable. Journeys (or parts thereof) by Undrground are not found by journey planners looking in a timetable, so cannot be cancelled in that sense.
I think they are in the data feed file called "Additional Fixed Links", which defines various options for getting between stations: their mode labels are BUS, TUBE, WALK, FERRY, METRO, TRAM, TAXI or TRANSFER. In the entries in this file (unlike the older Fixed Links file format) there are fields for Start Date and Time, and End Date and Time. So it appears that the Tube could be turned off for a whole or part day and on again, and on a case by case basis for station pairs. And the service in that short interval could be redefined with a different transfer time. There is a limit of seven links per station pair, though it's not clear whether that is per file or per instant in time.
Given how much needs to be known to do that, and that it is unlikely it is supported by the usual feed file generation software, I'm not surprised they don't bother.
