As already stated in the comments by @yotheguitou you have to commit to save the changes made to your SQLite since the last commit.

After you executed a DELETE statement you need to call connection.commit().

cursor.execute("DELETE FROM ticket WHERE ROWID = (SELECT MAX(ROWID) FROM ticket)")

connection.commit()

If you want to automatically commit after any executed statement, set isolation_level=None.

conn = sqlite3.connect("example.db", isolation_level=None)