Welcome to Android Central! Are those photo stored locally or in your Google+ Photos/Picasa albums in the cloud? Chances are they're in your cloud. Open the Photos app (the one with the pinwheel icon) and try deleting it there (Photos allows cloud deletion, while the stock Gallery app usually doesn't). Otherwise, go to your Google+ Photos page on the web and delete the photo there. Afterwards, on your phone, go to the App Manager, select Gallery, and Clear Cache/Clear Data, then Force Stop. When you open Gallery again, after a few seconds of rebuilding the database, that photo should be gone.