You can accomplish this using microflows and a popup window. Add a action button to your datagrid that triggers a microflow. That microflow will pass a parameter from the datagrid, and you can use the show page activity to display a pop up with that object as the caller of the page. From here you can display whatever text you want. You can determine the text in the microflow before showing the pop up or have some text on the page hidden with conditional visibility. Then you can add another microflow button that will actually delete the object and as well as cancel button.