When a thread is cancelled via
myWorkerThread.cancel(true/false);
the done method is (quite surprisingly) called by the cancel method itself. 
What you may expect to happen, but actually DOESN'T: 
- you call cancel (either with mayInterrupt or not)
- cancel set up the thread cancellation  
- the doInBackground exits 
- the done is called* 
(* the done is enqueued to the EDT, that means, if EDT is busy it happens AFTER the EDT has finished what it is doing)
What actually DOES happen: 
- you call cancel (either with mayInterrupt or not) 
- cancel set up the thread cancellation 
- the done is called as part of cancel code* 
- the doInBackground will exit when it will have finished its loop 
(*the done isn't enqueued to the EDT, but called into the cancel call and so it has a very immediate effect on EDT, that often is the GUI)
I provide a simple example that proves this. 
 
Copy, paste and run.  
1. I generate a runtime exception inside done. The stack thread shows that done is called by cancel. 
2. About after 4 seconds after cancelation, you'll recive a greeting from the doInBackground, that fhurterly proves that done is called before the thread exiting.  
import java.awt.EventQueue;
import javax.swing.SwingWorker;
public class SwingWorker05 {
public static void main(String [] args) {
    EventQueue.invokeLater(new Runnable() {
        public void run() {
            try {
            W w = new W();
            w.execute();
            Thread.sleep(1000);
            try{w.cancel(false);}catch (RuntimeException rte) {
                rte.printStackTrace();
            }
            Thread.sleep(6000);
            } catch (InterruptedException ignored_in_testing) {}
        }
    });
}
public static class W extends SwingWorker <Void, Void> {
    @Override
    protected Void doInBackground() throws Exception {
        while (!isCancelled()) {
            Thread.sleep(5000);
        }
        System.out.println("I'm still alive");
        return null;
    }
    @Override
    protected void done() {throw new RuntimeException("I want to produce a stack trace!");}
}
}