Hi,
What do you mean by a cancelled passport? They did not give it back to you? If that is the case, then you just have to provide them a letter explaining that your embassy did not give you back the old passport when you renewed it.
When I renewed my passport, the old one was not returned back to me. I just had to enclose an explanation letter in my application and so far, they did not ask about it.
But then, I don't think this will matter as you have received your AOR already according to your other posts. Your application should have been returned to you before sending you an AOR if they wanted an explanation letter. There is no need to send them one now unless they ask for it as it may just confuse them and may cause delays on your application process.
I hope this helps.