What I'd like to do is to kick out the Blades from the sanctuary. I spilled my blood, literally, to open that place they're now squatting in. By all rights, IT'S [censored] MINE!
...or at least the option to seal them in.
Now there's an idea. If Delphine doesn't want anything to do with the Dragonborn after he/she refuses to do a certain thing, than they must not really need that sanctuary only the Dragonborn can open.
Might as well relock the sanctuary door, perhaps forgetting to check to see if Delphine is still inside.