If you cancel the creation of a new record, the choice you have is “OK” or “Cancel”. I suggest “Yes” or “No”, as cancelling a cancel is confusing.
But the text in the pop-up window is asking if you want to navigate away from this page instead of asking if you want to cancel the creation:
I don’t think it refers to “canceling a cancel”.
It’s no big deal. You get this box when you want to cancel your new record. If you click “Cancel”, you go back to the record.