You don't (in fact you'd lose reportable data if you could). Use another status like Cancelled that has the right rank in the progression, and which properly models their journey (however unwanted).
That's going to be hard because most of the time Event program channels are set up to not let you go backwards through the statuses.
You've got a few options here. I use one of these two:
1. In the program's Members tab, manually remove them from the program (Change their status to "Not in Program") and then manually re-add them to the program as a status of "Invited."
2. Add a new program status in your Event program called "Cancelled" or something like that and set the program status number to be equal to your "Registered" status, which means you can move people between those two statuses easily. Then you can action any future smart campaigns to look at people who are both "Invited" and "Cancelled" status if you need to do follow up. (This is my preferred option)
Edit - Ha - snap with Sanford's reply above.