I have deleted a question and an answer here on Meta: both were mine. Lost some reputation, naturally. In the reputation tab, with "show removed posts" enabled, the answer is hyperlinked but the question is not.
I can't think of any reason to link one but not the other, so this behavior looks like a bug. (It may be inherited from the time when users could not see own deleted questions even if they had its URL, but that was changed long ago).