Which Observer to Call When Removing Item from Cart in Magento 2

You have to override form.phtml file

app/design/frontend/vendorname/themename/Magento_Checkout/templates/cart/form.phtml

Add below code at last

<script>
require(['jquery', 'jquery/ui'], function($){ 
        jQuery('.action-delete').click(function(e)
    {
        if(confirm('Do you want to remove this product?'))
        {
            return true;
        }
        else
        {
            return false; 
        }

    });
 });
</script>

You must add this code in your theme's folder.

Magento_Checkout/templates/cart/form.phtml

require([
    'jquery',
    'mage/translate',
    'Magento_Ui/js/modal/confirm',
    "mage/template",
], function ($, $t, confirm, mageTemplate) {
    $('.action-delete').click(function (e) {
        e.stopPropagation();
        confirm({
            title: $t("Remove item cart"),
            content: $t("Do you want remove this item of the cart?"),
            modalClass: "classModal",
            actions: {
                confirm: function () {
                    var params = $(e.currentTarget).data('post');
                    var formTemplate = '<form action="<%- data.action %>" method="post">'
                        + '<% _.each(data.data, function(value, index) { %>'
                        + '<input name="<%- index %>" value="<%- value %>">'
                        + '<% }) %></form>';

                    var formKeyInputSelector = 'input[name="form_key"]';

                    var formKey = $(formKeyInputSelector).val();
                    if (formKey) {
                        params.data.form_key = formKey;
                    }
                    $(mageTemplate(formTemplate, {
                        data: params
                    })).appendTo('body').hide().submit();
                }
            }
        });
    })
});