Based on the precedent of the comics, he doesn't have the power to delete the truly cosmic-level entities - not that any of them have been )or will be) seen in the films.
Part of the problem is that while there are any number of beings of cosmic or universal power in the Marvel Universe, only a couple of the relatively weaker ones have been explicitly introduced in the films.
Dormammu is incredibly powerful, but he's nothing compared to, say, beings like the In-Betweener or the Living Tribunal. It'd be an argument whether or not the Celestials are more powerful than a Gauntlet-powered Thanos, but it'd be close. The Watchers are very powerful in the comics, but save for a cameo, we've no hard data about them in the MCU.
The truly cosmic entities joined the various fights against Thanos in the comics, but I don't recall any of them being destroyed or Snapped by him (corrections accepted). If we use that as a standard, it suggests that he doesn't have the power to delete them in the filmic universe either.
I suspect they won't be used in the movie, so the question will remain unanswered It'd take too long to explain who they are, not to mention we want to see the heroes win, not a literal deus ex machina where some totally new bunch of beings swoop in and save the day.