You can cancel sending a mail message using the commands ~x or ~q.
The command ~x cancels the message you are sending and exits mail. It does not save the message you were composing.
The command ~q cancels the message, saves it in the file dead.letter in your home directory, and then exits mail.
The dead.letter file only keeps the most recently cancelled mail message. The next time you cancel a mail message, it will overwrite the contents of the dead.letter file.