What do I do if a financing company is trying to charge me a cancellation fee for canceling a loan application?

You need to re-read the terms of the application; check your copy. It should state what fees are charged for cancelling. If not, look at what, if nything else, was provided to you reagrding the application. If you were given no notice of such a charge then, as  consumer, you may well have grounds for contesting it.