Ha, that's a good one.
If the order cannot be cancelled, then I'd just download it through non-legal means (I'd judge that legal and moral if *I* was doing the judging!)
Otherwise, yeah, just cancel the order and download legally.
Either way, download (or just keep streaming). In an age where music is both listened to and delivered electronically, CDs are an anti-environmental, anti-mustachian anachronism. Why dig up some petroleum (to make the CD/case), chop a branch off a tree (to make the booklet) and drive a big truck hundreds of miles (to deliver the CD from manufacturer to retail), when you could skip all that and get the music more conveniently, more cheaply, and in a method where more of your money goes to the music creators? Especially since it sounds like you've decluttered anyway, so why allow CD cases back into your life?