Você não pode usar Subquery Factoring/CTE com nada além da instrução SELECT. Na documentação:
Você poderia fazer isso:
DELETE FROM tbl WHERE tbl.id IN
(WITH X AS (), Y AS (), Z AS ()
SELECT id FROM TBL
WHERE TBL.ID IN (SELECT ID FROM Z));
DELETE FROM tbl WHERE tbl.id IN
(WITH X AS (), Y AS (), Z AS ()
SELECT id FROM TBL
WHERE TBL.ID IN (SELECT ID FROM Z));
