Actually, you can use multiple actions, at least this is what at the end of the wp_delete_term function, which runs when you click Delete on a taxonomy term:
do_action( 'delete_term_taxonomy', $tt_id );
do_action( 'deleted_term_taxonomy', $tt_id );
do_action( 'delete_term', $term, $tt_id, $taxonomy, $deleted_term );
do_action( "delete_$taxonomy", $term, $tt_id, $deleted_term );
The last one my be the most useful, you can create an add action like this:
add_action( "delete_favorite" ...