I had the same thing happen to me. I accepted a less desirable job then interviewed and got the job I wanted, so I emailed the other place and told them I wouldn't be coming to training. They didn't seem very happy, but if I wouldn't have accepted the first job and then not have gotten the second job I would've been out of luck with any job. I guess I still don't know if I did the most ethical thing, but it worked out.