We calculate the nth order of 2k-particle azimuthal cumulants cn{2k} based on transverse momentum conservation (TMC) and collective flow vn(n=2,3). We demonstrate that the TMC effect only leads to a nonzero cn{2k} with the sign of (−1) nk and the magnitude inversely proportional to (N − 2k) nk . The interplay between TMC and collective flow can change the signs of c2{4}, c3{2} and c3{4} at some values of multiplicity N , which could provide a good probe to study the onset of collectivity and search for the substructure of proton in small colliding systems.