What is the “pressed the delete key” event for the WPF Datagrid?

The RemovedItems items reflects the items removed from the selection, and not from the grid.

Handle the PreviewKeyDown event, and use the SelectedItems property to delete the selected rows there:

private void PreviewKeyDownHandler(object sender, KeyEventArgs e) {
    var grid = (DataGrid)sender;
    if ( Key.Delete == e.Key ) {
        foreach (var row in grid.SelectedItems) {
            ... // perform linq stuff to delete here
        }
    }
}