It is not a bug, but the expected behavior.
The idea is that the question could have been wrongly closed, or that just needs to be edited to be re-opened; I think that giving the time to somebody to check if the question was closed for a valid reason is generally a good idea. I would not surely want a good question be deleted just because was wrongly closed.
I can also imagine the OPs are not immediately allowed to delete their own closed questions to avoid they delete the questions as reaction to the questions being closed.
20k users can immediately vote to delete the question, once it has been closed. If the OP really wants the question to be deleted, the question can be flagged for moderation attention; if the OP explains the reason for deleting the question, moderators generally delete the question (if it is a valid reason).