Southwest has always allowed free cancellations, up to 10 minutes before boarding— that was one of its main selling points. You (normally) get the money as flight credit, however.
A few months ago, they monkeyed with our departure time, and we correctly concluded that it would end up missing the connecting flight. The booking agent couldn't give us anything but time-bomb vouchers, but I got cash by emailing customer support. I used the federal wording for "elected not to travel" and "substantially different itinerary," which may have helped me not have any issues.