Hi! How to make an alert when a process gets "cancelling" status?

You can find this in the Automations docs. Only available on Cloud

Is it possible to intercept this status using a state handler?

No because cancellation doesnt trigger state handlers. Someone said

def myhandler(...):
    if isinstance(new_state, Cancelled):
        ....

worked but I personally doubt it. You can try though

a bit late with this answer but this topic dives deeper into that https://discourse.prefect.io/t/is-it-possible-to-take-action-on-flow-run-cancellation/141