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If there was nothing unprotected in your Palace that was attacked by the Cannon, this is indeed not a chase, and thus a draw. In Asia rules a mate threat (even mate in one) is not considered a chase in itself; you really must threaten to capture something on the subsequent move for that. A frequently occurring case is a King behind a pinned Advisor (e.g. by a Rook or together with Elephant by a Cannon), threatened to be mated on the last rank by a Rook. To prevent the mate the King steps aside, but then a check with that same Rook from the front drives it back behind its Advisor, after which the Rook resumes its original location to threaten the back-rank mate. This counts as 1-check, 1-idle, and thus a draw. Even if the mating square contained an unprotected piece (say the other Elephant), the 1-check + 1-chase is also allowed (under the general rule that alternately chasing different pieces is allowed).