Not feasible in standard. When delivery is gone - it's gone.
The only thing you could do is trigger change document creation for LIPS-VGBEL in a user exit. Google 'change document for custom field', process would be the same essentially.
Although have to admit I fail to see any value in this. Sounds a bit obsessive IMHO. The order becomes eligible for delivery again and can be seen on the Delivery Due list, so why does it matter what delivery was deleted? It's more important what you still have to deliver.
