What type of account do you have (Google, Hotmail, Yahoo, etc)?
Depending on the type of account, you may be able to dig down into the advanced settings and find out (and change) where your emails go when deleted. The Advanced settings move around a bit (or may not be available) with different account types.
Go to Settings > Mail, Contacts, Calendars, select your accound and dig down a bit by tapping fields that have arrows to the right of them.
Good Luck.