How do I delete files open in Preview?
According to this answer, you can't delete the last file that's open in a Preview window:


  Preview won't allow you to cmd-delete, or "move to trash", or even drag and drop to trash, the last file it has open.


If there is more than one PDF open in a single Preview window however, you can delete them up until the last one.

Those questions might also be helpful for you:


How do I "Move to Trash" in Preview in OS X Lion? - Super User
Preview- move to Trash - Ask Different
Deleting a file from inside Lion’s Preview.app - Ask Different