Discarding the unit goes beyond the effect of deployment. The effect of deployment is to pay resources to move a unit from the hand to the board. Since there is no discard involved, cancelling would not cause the unit to go to the discard but instead back to the hand.
An analogous situation is on Page 16... spells out how a card is played... first it is revealed, then the resources are generated, then if the resources are insufficient, the card cannot be played and it returns to the hand.
Since Signal Jam says, "When an action . . . is initiated", that could mean the timing must be at the reveal (page 24, "Interrupts may be executed when the specified triggering condition occurs"), but before the resources are generated (and if they already have been, as a matter of etiquette, you allow them to take back the generated resources; otherwise, all games would be bogged down by asking "Any Interrupts?" after the reveal of every card to be played) because the Action of Deployment starts with the reveal of the card.
Page 16 tends to imply then that the card would return to the active deploying player's hand. However, if the card returns to their hand and no resources have been spent... what would be the point of "canceling" that action? You'd be down a powerful card and resource and they could simply deploy the unit again.
Therefore: Either units can't be cancelled meaningfully (as in the above interpretation) OR "initiated" doesn't mean at the literal first step of the deployment and simply means "not completed (by virtue of playing an interrupt)"... in which case, Signal Jam simply returns the unit to their hand, but they still have to pay the cost for the unit, if able.
Edited by Demas, 06 April 2014 - 08:08 PM.