I want all my money back

I took out a life cover with one life in the beginning of May. The policy was supposed to start on the 1st of June. On the 15th may they deducted a premium and on the 17th a send them an email to cancel as I had recieved a better offer from another company. I received one of their automated responses saying that my query was being handled. On the 15th June they debited my account. Yesterday I called them and they said the policy was being cancelled. Today they say the cancellation will be effective in the 39th June. Why? I cancelled already in may, before the policy was effective. I want my money back