When can I destroy a room?
This "Detailed Play Sequence" helps clarify this.

Destroying a room isn't something you can just "do".  During the build and adventure phases you can take actions either through playing a spell or using a room's ability, and the cost for those actions might involve destroying a room.  This means that any time you can take an action, you might end up destroying a room.  This "Detailed Play Sequence" helps clarify this.  


  You may play a Spell or Room Ability when another player is active,
  but they can react with their own Spells and Room Abilities, and those
  resolve before your effect.
  
  The Build phase ends when Rooms are revealed. Build effects ("When you
  build this Room...") and Level Up powers take place immediately, in XP
  order. No Spells or activated abilities may be played until the
  Adventure Phase begins.


Actions can be used on any player's turn during the build or adventure phases. If multiple players want to take an action at the same time, the current player always has their actions take priority, and then the rest are resolved in XP order.

In the build phase, you generally take actions when it is your turn to select a room.  At this point you are the current player, so nobody else can interrupt your action (except to counter it).  You are not allowed to use build phase actions after rooms are revealed, so you can't play a room and then immediately destroy it before the bait phase.  The only thing that happens after rooms are revealed is "Level Up" and "When you build this room" effects, followed immediately by the bait phase.

In the adventure phase, each time the heroes move to a different room, there is an opportunity for any player to use an action. The player that owns the dungeon the heroes are in is the current player, so their actions will have priority.