Load your own templates for Paid Memberships Pro using a custom plugin.

my_pmpro_page_templates.php

/**
 * Include this code in your custom WordPress plugin
 * to load your own versions of the PMPro page templates.
 * To override the cancel.php template, place your own
 * cancel.php template in a folder like this:
 * ../plugins/yourpluginslug/templates/cancel.php
 *
 * Using priority 100 will make sure this runs after
 * other code using the smae hook. For example,
 * it will run later than the Reason for Cancelling Add On
 * which uses priority 99. :)
 */
function my_pmpro_page_templates( $templates, $page_name ) {		
	$templates[] = plugin_dir_path(__FILE__) . 'templates/' . $page_name . '.php';	

	return $templates;
}
add_filter( 'pmpro_pages_custom_template_path', 'my_pmpro_page_templates', 100, 2 );