I tried to reproduce the same in my environment and got the below results:
In my Azure Portal, I activated SAS URL for disk attached to an VM like below:

When I tried to delete all VM related resources, all deleted except VM Disks with an exception like below:

The error usually occurs if Disk State is in Active SAS
that don't allow Delete operation like below:

To resolve the error, you need to revoke access to Disk by clicking Cancel Export
from Portal.
If you want to do the same from PowerShell, you can use below commands:
Connect-AzAccount -Tenant <TenantID>
Revoke-AzDiskAccess -ResourceGroupName '<RG_Name>' -DiskName '<Disk_Name>'
Response:

To confirm that, I checked in Azure Portal where Disk State is changed to Unattached
like below:

When I clicked on Delete after revoking SAS, VM disk got deleted successfully like below:
