Modifying the sample axis, e.g. removing samples, does not (yet?) comply with the scikit-learn transformer API. So if you need to do this, you should do it outside any calls to scikit learn, as preprocessing.
As it is now, the transformer API is used to transform the features of a given sample into something new. This can implicitly contain information from other samples, but samples are never deleted.
Another option is to attempt to impute the missing values. But again, if you need to delete samples, treat it as preprocessing before using scikit learn.