How to reject a PhD Scholarship offer after accepting it?
You can't have it both. Even a professional supervisor will be angry after finding out that you dumped them months after getting your ok (especially as you say they secured funding for you; who knows how many hoops they had to jump through). 

But it's your PhD and your life. If the other offer is really better, go for it. 

You can be very polite about that, and the best thing you can hope for is that they will be momentarily displeased and forget about it with time. Don't bring it up again in future if you happen to meet them again.

A formulation that expresses how sorry you are to put them through all the trouble you had to reconsider the very generous offer and that you ended up not being able to take it would be a possible route of formulation.