I've never deleted a theme. They only take up about 2 meg on your server so it's hardly worth the bother.
Firstly, the Origin Theme that comes wit Oxwall must NOT be deleted. Oxwall uses components of this theme regardless of the theme you're running.
Deleting other themes may create a 500 error if you delete them while Oxwall is running on your browser. Like plugins, Oxwall reads what themes are in the ow-themes folder when it starts. If you delete a theme while it's running on your browser, it may produce the error message.