If buyer uses checkout and e-cheques have bounced, it won't show as paid only payment pending.
Are you sure one of the payments didn't go through until after it was cancelled ?
Also ask the buyer for a receipt number so you can locate the payment.
I've had people try similar things in the past.
One purchased items, paid by eCheque, sent a message via eBay the next day saying their eCheque had cleared and told me to post their items right away. I knew the eCheque hadn't cleared (PP will always send notifications when they do, plus the quickest they usually clear is 3 business days). I logged into PP and the eCheque was showing as cancelled. 
Needless to say they were left with no items and no ability to buy from me again.
There definitely have been funny things going on with PayPal payments, though, with full reversals happening. I had one earlier this week where it was reversed but there was nothing to indicate it in the usual things I check when I pick / pack an order, so it got sent out before I discovered the payment was reversed. However, they just show as refunded in PayPal, not cancelled eCheques or whathave you.
Just to clarify, are eBay just sending automated reminders about refunding, or are they being a bit more direct? If the payment status is unverifiable, that will sometimes trigger emails from eBay (don't forget to refund your buyer type of stuff), which you can ignore without implications - besides, if there was a cleared payment, cancelling via eBay would have triggered a refund.
