Stop Parallel.ForEachAsync

The Parallel.ForEachAsync lambda has a CancellationToken as its second parameter. This token is supplied by the API, it's not the same token that you have passed in the ParallelOptions. You can forward this token to any asynchronous method that you invoke inside the lambda. If you invoke non-cancelable methods, then the best you can do is to call the ThrowIfCancellationRequested at strategic places inside the lambda:

var cts = new CancellationTokenSource();
var options = new ParallelOptions() { CancellationToken = cts.Token };

try
{
    await Parallel.ForEachAsync(items, options, async (item, ct) =>
    {
        //...
        ct.ThrowIfCancellationRequested();
        //...
        await ProcessAsync(item, ct);
        //...
        ct.ThrowIfCancellationRequested();
        //...
    });
}
catch (OperationCanceledException ex)
{
    // ...
}