When I delete a light or room in the Hue app, it remains visible in the device list of Alexa.

Currently this is correct. All devices you delete from the Hue app will remain visible, but offline. You need to forget all devices in the Alexa app and discover the devices again. This will update the list in Alexa, and the deleted devices, rooms and the scenes associated to these rooms will be no longer appear in the list.
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