This will delete records from both the table (what select return)
DELETE
FROM `wp_term_relationships`, `wp_terms` , `wp_term_taxonomy`
USING `wp_term_relationships`, `wp_terms`, `wp_term_taxonomy`
WHERE
'wp_term_relationships`.`term_taxonomy_id`=`wp_terms`.`term_id`
AND `wp_terms.term_id`=`wp_term_taxonomy`.`term_id`
AND `wp_term_relationships`.`object_id` BETWEEN 1154 AND 11560;
also try using JOIN clause