I think the mail could not be sent before the directory is deleted.
No, not if you're using spooling. With spooling mail is sent via a separate thread and may be sent after you delete the file. If you read the docs on cfmail that's the expected behavior (see below). If you're on 8.0.1+, a better option is to use instead. http://livedocs.adobe.com/coldfusion/8/Tags_m-o_01.html
Note: The cfmail tag does not make copies of attachments when spooling mail to disk. If you use the cfmail tag to send a message with an attachment with spooling enabled and you use the cffile tag to delete the attachment file, ColdFusion might not send the mail because the mailing process might execute after the file was deleted. ....