Automatically remove a canceled order in Woocommerce

do the following code in your child theme function.php file as given below.

function wc_remove_cancelled_status( $statuses ){
  if( isset( $statuses['wc-cancelled'] ) ){
      unset( $statuses['wc-cancelled'] );
  }
  return $statuses;
} 
add_filter( 'wc_order_statuses', 'wc_remove_cancelled_status' );