Hello Kutay,
Merry Christmas 
I did not any user exit when I click on Delete from MD12. Strangely I could not get any BADI as well, but I am not sure if any BADI exists.
However I find one BADI, MD_PLDORD_CHANGE you can check in SE18 it has an method CHANGE_BEFORE_SAVE_MAN which as per SAP documentation reads "Change Planned Orders: Manual Processing"
The documentation says "You can use the Business Add-In (BAdI) MD_PLDORD_CHANGE to change, before posting, data from planned orders, which have been created, changed, or deleted as a result of planning a material or manual processing."
It looks promising to me, can you take help of your ABAP consultant and check if this BADI helps solve your purpose.
Do let me know if it works
Best Regards,
Ameya B.