Can we change the address or personal details on an order after it has been cancelled?

Not on a cancelled order. Addresses are normally changed with an addresses modification, which is a standard order operation, but modifications cannot be created once the order is cancelled, and they are also blocked while a blocking custom state is active. Only one modification of each type can be active at a time. If you need the data removed rather than corrected, treat it as a data deletion request instead. It is still possible to delete an order when it has been cancelled.