Why can't questions with open bounty and no answers be deleted?
With an open bounty? Presumably because the gauntlet has been thrown down, and someone might be working on that super-complex problem for you. It would suck if they came back for their hard-earned +500 (within the deadline) only to find the OP had deleted the question.
For off-topic / etc, ♦ moderators can still trump the bounty rules. We can even refund the original rep if we're in a good mood.
Most of the answers I have seen about bounty questions have been with the attitude of "once you open it, the points you offer for the bounty are gone into the bounty system".
This prevents people from gaming the system.
Some bounties take a good amount of work. I know I would be upset if I saw a bounty question, spent a lot of time on it and then found out that it was gone (or not in bounty status any more).