You can not stop anything which do not have an explicit option to be stopped. In this case, actions are a mean to execute some additional code in the context of a specific execution path, and not to alter it. If there is no way to signal to the process to stop, than the only way is to die().
If you think about it from a more distant logical perception, it does not make any sense that a blog delete API will not delete the blog. If you need something like “queue for deletion” you just need to write your own function and replace the relevant delete links in the admin with links to your operation.