...
Check if any roles are tied to a domain
Also, check the permissions of all roles in case the domain is specified as the scope
Configuration>Gateways
Check to see if you can see the domain bound to any message gateway
If you see the domain you wish to delete listed in any of the above place then you will need to edit and remove those associations.
If however, you cannot find it in any of those locations, then it will need to be manually removed using a series of SQL queries.