cancellation policies are always tricky to stick to when there are legitimate reasons for the cancellation.
Is there a chance that you can fill the spot with another person? Did you have to turn away people because you were at capacity? Do you know this person? Is there a history of cancellations for flimsy reasons?
Since you had stated your policy clearly, you have all right to stick to it. But will this person ever come back for another session?
Knowing myself, I would probably give him or her a rain-check so that the amount paid can be applied to a future 4 week SGT.