I contacted them to delete it, and apparently, they don't do that:
https://imgur.com/a/iIAGBwn
In addition, their support is almost non-existent.
I live in EU. Is there anything I can do besides requesting to delete my account?
This just seems extremely fishy and unprofessional.
That said I'm sure Deezer in their terms of service allow for termination of any account. If you request partial deletion of information and they can't provide that they will terminate your account. And for financial/tax law (which overwrites GDPR) they might still have some of your info stored in a different system for 10 years.
It comes down to how patient you are, how many letters you're willing to send.