Death threats? Over a show? Come on now... that seems pretty intense. The truth may be that three weeks before the show, the bills start pouring in, and with $80K in prize money, 3 new cars, costs for the venue and more, the amount you needed to put out could be close to $150K or more. With very little sponsorship, and other hidden costs, you could of lost over $120K or more.
So you decided to cut your losses. That is understandable. Deposits of the theater, and other expenses that was put it will be forfeited, as your time. Sorry to hear that.
Putting a show on without sponsors and a lot of pressure from rival organizations is very hard. You tried. It didnt work out.
Problem is, a lot of people and competitors made arrangements for flight tickets, hotels, time off work, and because of a cancellation so close to the show, many others will lose a lot of money and time too.