Maybe they should just remove the confirmation dialogue entirely.

You press cancel deliberately then choose correctly: 1 non-essential button press
You press cancel deliberately then choose incorrectly: 3 non-essential button presses (because you go round again)
You press cancel by mistake then choose correctly: you save your print job
You press cancel by mistake then choose incorrectly: you lose your print job

Based on your poll, saving someone's print job from accidental cancellation seems an extremely unlikely outcome.

Well, saving someone's print job from accidental cancellation the second time is not so improbable. One lost print job per user is at least not nearly as bad as one lost print job per print job :-)

This reminds me of something that vexes me wherever I see it: asking for confirmation to do something totally non-destructive and undoable.

That is to condition you to hit "YES, DO IT ALREADY" without thinking when you get a prompt for something which is destructive and irreversable.

Moving files to the Recycle Bin vs. deleting them over network shares is an excellent example.

Quite. Personally, I'll never vape a document before I have the satisfactory printout in my hands, anyway. Unless it's something utterly trivial like an address for a parcel, I won't vape it even then.

There's much more risk of the printer mangling my output or the job getting lost than of someone accidentally cancelling the job when they didn't mean to.

Or even better, say "cancelled, press XX to undo and continue printing" for a few seconds and then both "just do what I say" people and "agh, undo, UNDO!" people have something for them :)

Or, better still — and many HP models do this — provide a "print it on whatever paper you've got" option.