What are the different states of work items, can any-one please list them?

This is totally defined in the process workflow. I would suggest to open the project area administration and look at the workflows. You want to look at this workshop as well. https://jazz.net/library/article/1093.
Each work item type has a workflow assigned and the workflows can be modified. Types and workflows are different for different process templates. So it is impossible to provide you with the requested information.

Can you please let me know if there is a state called cancelled?

I am pretty sure there is a customer somewhere on the world that has created a workflow with a state cancelled. I am not aware any of the standard templates has a state like that. I am unsure about the underlying reason for the question.