Det kan du helt sikkert:
DELETE FROM `table1`, `table2` WHERE `orderId` = 500
se http://dev.mysql.com/doc/refman/ 5.0/da/delete.html
[EDIT:]
Dette er hele tricket:
DELETE FROM `orders`, `orders_items`
USING `orders`
INNER JOIN `orders_items` ON `orders`.`orderId` = `orders_items`.`orderId`
WHERE `orders`.`orderId`= 500
Hvis orderId er en varchar, skal du ændre sætningen til = '500'
.