User Selectable Delete of Pages

You are deleting all pages with that code because you are triggering the function wp_delete_post().

You should build the url to delete the page(or post) like this:

$delLink = wp_nonce_url( get_bloginfo('wpurl') . "/wp-admin/post.php?action=delete&post=" . $page->ID, 'delete-post_' . $page->ID);

So your code should be:

$pages = get_pages(); 
foreach ( $pages as $page ) {
    $delLink = wp_nonce_url( get_bloginfo('wpurl') . "/wp-admin/post.php?action=delete&post=" . $page->ID, 'delete-post_' . $page->ID);
    $option = '<li>';
    $option .= '<a href="' . $delLink . '">';
    $option .= $page->post_title;
    $option .= '</a>';
    $option .= '</li>';
    echo $option;
}

Cheers