I have 3 lists, lets say A, B, and C
I have a lookup in a column from B to A
I also lookup in a column from C to B.
I have the column lookups in B and C as Cascading Delete.
If I delete A, I know B will be deleted, but will C be deleted as well?
Since you are maintaining "Cascading Delete" lookup in between the two lists such as "B" & "C", The removal of list item from the "B" removing the related item in the list "C".
If you don't want to remove the item from "C" list. Change it to "Restrict Delete".
Please check this link for more detail: Cascade and Restrict Delete