A hearing device, e.g. a hearing aid, adapted for being located at or in an ear of a user and/or for being fully or partially implanted in the head of the user, the hearing device comprising • A multitude of input units (M 1, M 2; IU 1,..., IU M) each providing an electric input signal (x 1 (n), x 2 (n); x 1,..., x M; X 1,..., X M) representing a mixture of an audio signal from an audio signal source and possibly acoustic signals from other acoustic signal sources around the hearing device as received at the input units (IU 1,..., IU M) in question; • A wireless receiver (xTU) for receiving and providing a direct representation (s(n); s) of the audio signal; • A beamformer filtering unit (Ada-BF) configured to receive said multitude of electric input signals (x 1 (n), x 2 (n); x 1,..., x M; X 1,..., X M), and providing a beamformed signal (ã(n), Ã); • A combination unit (MIX; PRO) for providing a mixed signal (sa(n); OUT) comprising a combination of said direct representation (s(n); s) of the audio signal and said beamformed signal (ã(n), A), or signals originating therefrom; • An output unit (SP; OT) for presenting stimuli perceivable to the user as sound based on said mixed signal (sa(n); OUT), CHARACTERIZED IN THAT the beamformer filtering unit (Ada-BF) comprises an audio signal cancelling beamformer configured to provide that sound from a direction from the hearing device to the audio signal source is cancelled or attenuated compared to other directions in said beamformed signal (ã(n), Ã), wherein the beamformer filtering unit (Ada-BF) comprises an adaptive filter configured to determine a spatial filter, e.g. an MVDR beamformer, that minimizes the correlation between acoustically propagated sound represented by said electric input signal(s) (x 1 (n), x 2 (n); x 1,..., x M; X 1,..., X M) and wirelessly received sound represented by said direct representation (s(n); s) of the audio signal under the constraint that noise from a direction (REF-DIR AS; θ) to another sound source of interest, e.g. to the side of the user, is unaltered, and providing beamformed signal (ã; ã(n); Ã) based thereon. • A multitude of input units (M 1, M 2; IU 1,..., IU M) each providing an electric input signal (x 1 (n), x 2 (n); x 1,..., x M; X 1,..., X M) representing a mixture of an audio signal from an audio signal source and possibly acoustic signals from other acoustic signal sources around the hearing device as received at the input units (IU 1,..., IU M) in question; • A wireless receiver (xTU) for receiving and providing a direct representation (s(n); s) of the audio signal; • A beamformer filtering unit (Ada-BF) configured to receive said multitude of electric input signals (x 1 (n), x 2 (n); x 1,..., x M; X 1,..., X M), and providing a beamformed signal (ã(n), Ã); • A combination unit (MIX; PRO) for providing a mixed signal (sa(n); OUT) comprising a combination of said direct representation (s(n); s) of the audio signal and said beamformed signal (ã(n), A), or signals originating therefrom; • An output unit (SP; OT) for presenting stimuli perceivable to the user as sound based on said mixed signal (sa(n); OUT), CHARACTERIZED IN THAT the beamformer filtering unit (Ada-BF) comprises an audio signal cancelling beamformer configured to provide that sound from a direction from the hearing device to the audio signal source is cancelled or attenuated compared to other directions in said beamformed signal (ã(n), Ã), wherein the beamformer filtering unit (Ada-BF) comprises an adaptive filter configured to determine a spatial filter, e.g. an MVDR beamformer, that minimizes the correlation between acoustically propagated sound represented by said electric input signal(s) (x 1 (n), x 2 (n); x 1,..., x M; X 1,..., X M) and wirelessly received sound represented by said direct representation (s(n); s) of the audio signal under the constraint that noise from a direction (REF-DIR AS; θ) to another sound source of interest, e.g. to the side of the user, is unaltered, and providing beamformed signal (ã; ã(n); Ã) based thereon.