Hey Nele! Your question got me thinking since I have been making some tweaks to my cold subscriber automation to streamline it as much as possible.
There is no rule you could trigger so I checked the standard Zapier/Integromat solutions and they also don't have it. I even checked the ConvertKit API and currently don't see a way.
One thing I just discovered is that ConvertKit now works with PieSync and you may be able to do it that way.
Hopefully I am just missing something obvious but for now I'm having to setup an elaborate workaround.
~je
*UPDATE: The PieSync Integration does not allow deletion.