When you delete an alias, you can no longer use that email address to sign in to your Microsoft account. However, if that same email address is still listed as a security contact method (also called “security info” or “proofs”), removing the alias won’t stop Microsoft from asking you to verify using that email.
If you’re being prompted to verify and you try to change the email during that process, you will not receive a code, because verification codes will only be sent to the security info that’s already saved on the account. To review or update your security contact methods, sign in here and manage your “proofs” (email/phone): https://account.live.com/proofs/manage/additional