Even if you delete the image from the internal/external memory, the image will be still set as the wallpaper because Android is keeping the relative bitmap in the volatile memory.
You can use a BroadcastReceiver
to capture the uninstall Intent:
http://developer.android.com/reference/android/content/Intent.html#ACTION_PACKAGE_REMOVED
But this will require you to install another application to listen for this Intent and then set a black background (or whatever you want) with
Note: It may be possible that after you uninstall your app and the restart the phone, the image will not be set as wallpaper anymore. It all depends whether Android keeps his own copy of the image of the wallpaper or not...just test for it!