My wife is currently trying to do the exact same thing. She had a flight cancelled by Southwest the day before she was to depart for a cruise. Fortunately, she had purchased the insurance. Of course the insurance company also needs the reason the flight was cancelled, which is not readily accessible from SW. It wasn't due to weather. We think maybe maintenance, but we aren't certain. In any event, she sent an email to SW Customer Relations a couple of days ago. So far, she has just received the automated response. Hold times have been ~ one hour, so no luck there. We are going to try the FlightAware screenshot approach, but I doubt that will suffice.