Never thought about that before!
I opened Mail, then chose a random message to delete, and the next item (up) was selected, as you mentioned.
Then, I clicked the header at the top (by date, in this case), and the sort reverses. Then deleted one time, and the next in the list (down) was now selected.
So, I surmise that the direction of deletion is determined by the direction of the sort.
Does that answer your question? Or, am I missing something, and my Mail works differently from yours?