Either the Orders will revert to No Status, or to another Custom Status of your choice.
For the second option, you have to go to Apps → Custom Order Status → Status. Pick the Status you want to delete and click on the Edit icon. Once you enable the Fallback Settings, you can select the Fallback Status, which is a custom status which has already been created. If Fallback settings are not set, then the status will be reset to none for all the associated orders
