CB Auto Action does not provide an action to delete a user. You would need to use a Code action with PHP and use CBs API to load the user object and delete it. Best I can suggest is setup CRON to run the Internal Users URL within CB Auto Actions > Parameters then in your code check if they're logged (maybe doable in the condition by substituting the onlinestatus field). Deleting them on logout is only reliable if they log out. There is no trigger for if their session expires (that's not possible without constantly checking database sessions to see if they're expired).

As far as keeping AcyMailing data I have no idea. We didn't create AcyMailing so I can't begin to suggest what it does or does not do with user data when they're deleted from Joomla.