Whether you can cancel split tickets depends on the types of ticket you have:
(1) If your booking includes a combination of Advance and Flexible tickets, you can cancel the Flexible ones. (2) If all of your tickets are Flexible, you can choose to only cancel part of your itinerary or cancel the whole trip. (3) If all of your tickets are Advanced, your booking is non-refundable. (4) If you need to cancel your ticket due to special circumstances, take a look at the answer to the question "Can I cancel my ticket due to special circumstances?"