There isn’t a specific hook currently that would be triggered when a user is deleted. However, you may be able to compensate that if you don’t strictly require real-time notification. In particular, you can configure a log stream (Log Streams) to send logs to a system you control and then on that system configure additional alerts/actions based on certain events types.
Since a user deletion would surface in tenant logs this should allow you to react to such event. As an alternative to log streaming you could also achieve something similar with the log extensions (Auth0 Extensions).