Remove the deleted user comment

+1 @toscho ‘s comment. This will break nested comment / conversation in comment. You should disable nested comments in the Settings.

Try this code. Note that this is not tested

add_action( 'delete_user', 'my_delete_user');

function my_delete_user($user_id) {
    $user = get_user_by('id', $user_id);

    // delete comment with that user email
    $comments = get_comments('author_email=".$user->user_email);
    foreach($comments as $comment) :
        wp_delete_comment($comment->$comment_id, true);
    endforeach;

    // delete comment with that user id
    $comments = get_comments("user_id='.$user_id);
    foreach($comments as $comment) :
        wp_delete_comment($comment->$comment_id, true);
    endforeach;

}