The precise way of stating that "Cantor ordinals" do not exist is given by the following theorem.
Theorem. Suppose $(W,<)$ is a well-ordered set, and $W\neq\varnothing$. It is not the case that there exists a set $\mathcal C$ such that $X\in\mathcal C$ iff $X$ is a well-ordered set which is order-isomorphic to $\mathcal C$.
Proof. Suppose, for contradiction, that there does exist such a set $\mathcal C$. Then there exists a set $\mathcal D$ such that $X\in\mathcal D$ iff $X$ is the underlying set of a well-ordered set which is order-isomorphic to $\mathcal C$. Note that $\mathcal D$ contains every set which is equinumerous to $W$, since the order-structure on $(W,<)$ can be pushed along bijections. Thus given any set $x$, we have $x\in X$ for some $X\in\mathcal D$. That is, the union of the sets in $\mathcal D$ is the entire universe, which is absurd. QED.
This proof tacitly uses some of the basic axioms of set theory, such as the axiom of union. The only nontrivial step appears to be in proving the existence of $\mathcal D$. If we have the axiom (schema) of replacement, then we can argue as follows: consider the sentence $S(a,b)$ in the language of set theory corresponding to the English phrase "$a$ is a well-ordered set, and $b$ is the underlying set of $a$". Then, for all $X\in\mathcal C$, there is a unique $Y$ such that $S(X,Y)$ holds; indeed, $Y$ is just the underlying set of $X$. Hence by replacement, we can form the set $\mathcal D$ such that $Y\in\mathcal D$ iff there is an $X\in\mathcal C$ such that $S(X,Y)$; that is, $Y\in\mathcal D$ iff there is an $X\in\mathcal C$ such that $Y$ is the underlying set of $X$.
If we don't have replacement, then I think the following ad hoc approach works, even though it feels quite unnatural. Recall that an element of $\mathcal C$ is a well-ordered set $(E,<)$, and $(E,<)=\{\{E\},\{E,<\}\}$ under the standard definition of an ordered pair due to Kuratowski. This means that if we form the union of the sets in $\mathcal C$, we end up with a strange-looking set $\mathcal U$ consisting of all of the underlying sets in $\mathcal C$, and a bunch of well-orders. The set $\mathcal D$ is given by $\{Y\in\mathcal U\mid\text{$Y$ is equinumerous to $W$}\}$. Alternatively, we could just take the union of the sets in $\mathcal U$, and we would wind up with the entire universe again.