Uses the hook new_user_approve_user_denied in the New User Approve WP plugin to delete denied users.

new-user-approve-delete-deny.php

<?php

/*
Plugin Name: New User Approve - Delete Deny
GitHub Plugin URI: https://gist.github.com/afragen/5624319
Description: This plugin hooks into 'new_user_approve_user_denied' to delete the denied new user.
Requires at least: 3.1
Tested up to: 3.6.1
Version: 1.0.1
Author: Andy Fragen
Author URI: http://thefragens.com/blog/
License: GNU General Public License v2
License URI: http://www.gnu.org/licenses/old-licenses/gpl-2.0.html
*/

add_action( 'admin_notices', 'nuadd_fail_msg' );
function nuadd_fail_msg() {
  if ( !class_exists( 'pw_new_user_approve' ) ) { 
		if ( current_user_can( 'activate_plugins' ) && is_admin() ) {
			$url = 'http://wordpress.org/plugins/new-user-approve/';
			$title = __( 'New User Approve' );
			echo '<div class="error"><p>'.sprintf( __( 'To begin using New User Approve - Delete Deny, please install the latest version of <a href="%s" class="thickbox" title="%s">New User Approve</a>.' ),$url, $title ).'</p></div>';
		}
	}
}

add_action( 'new_user_approve_user_denied', 'nuadd_delete_user' );
function nuadd_delete_user ( $user ) {
	global $wpdb;
	require_once( ABSPATH . '/wp-admin/includes/user.php');
	wp_delete_user( $user->ID );
}

add_filter( 'new_user_approve_bypass_password_reset', '__return_false' );