Hi,
Order history won't be lost.
However, if these products have downloadable files, the download links of the orders of these products won't work anymore once the products are deleted.
Also, statistics on the orders can get skewed. For example, if you have a report to get the sales amount of orders of products in a category, once you delete the product, the orders with products that were in the category of the report won't be taken into account for the calculation.
Also, the thumbnails displayed for the deleted products in the orders won't be visible once the products are deleted.
But the rest will work as before.