Perhaps there is a glitch with yahoo right now. I have a couple of questions for you.
1) Have you been using yahoo for awhile and are you familiar with it? (ruling out an error on your part)
2) Why not read all new email first and then go back and delete what you don't want? If there is email you are afraid will be deleted using this process, you could always create and move it to a folder before deleting anything until the issue is resolved.
I use yahoo and have not had any problems lately. I still use yahoo classic. I'm not sure if that matters or not.