Situation :

Greyjoy mirror match.

Player A has river blockade down ''Cancel the first location effect triggered by an opponent each round"

Player B iron cliffs "After The Iron Cliffs comes into play, place 2 gold tokens from the treasury on it.Response: Discard 1 gold token from The Iron Cliffs to save a Greyjoy character from being killed." with 2 coins on it.

Valar opens up and player B trys to save one of his characters by discarding the first coin from iron cliff and fails because of river blockade. He cant pay the second coin for the same character couse the source is the same and it has been cancelled. However can he use the second coin to save a second character??

That's correct - he can save another character with Iron Cliffs, but cannot save the same character twice with it (or attempt to save it twice with it, regardless of whether it's successful or not)