The original message does not make use of the page name, that's your local overriding. As it's a simple legend message, there's no pressing reason to further process HTML there. The page name is already set in the page title.

The message is also not meant for "reason" message, there are two messages for that 1 and 2, so your overriding of the original message is just superfluous and it hides some context about what supposed to be there.

The simple solution here is for you to delete that message and fallback to default, it will fix the redundancy and also fix the supposed bug at the same time.

Quick links for anyone:
Default would be https://translatewiki.net/wiki/MediaWiki:Delete-legend/es and is Borrar.
https://es.wikipedia.org/w/index.php?title=MediaWiki:Delete-legend is currently Razones para borrar «{{FULLPAGENAME}}»

The problem is actually caused by {{FULLPAGENAME}} returning HTML-escaped content, while the message is supposed to be plain text. You can work around this by using {{#titleparts:…}} instead, as described here (in the yellow warning box): https://www.mediawiki.org/wiki/Help:Extension:ParserFunctions#.23titleparts. (And before you ask, yes, this is stupid.)

I think this has been broken since 2012, after the change in commit rMW8d4913ec4dea: Replace deprecated wfMsg* calls with Message class calls.:

-			Xml::tags( 'legend', null, wfMsgExt( 'delete-legend', array( 'parsemag', 'escapenoentities' ) ) ) .
+			Xml::tags( 'legend', null, wfMessage( 'delete-legend' )->escaped() ) .

And before you ask, yes, this is stupid.

Good that we all agree on this. :)

To my observation this must be a MediaWiki 1.34 regression. On one of my wikis I have a setup using {{PAGENAME}} which worked in MW 1.33 and only after upgrading to MW 1.34, all of this is: broken.

So we will be getting a {{PAGENAMEP}} with P for plain or something similar?

Ah, this is about {{FULLPAGENAMEE}}. Well the behaviour of {{PAGENAME}} also changed as my comment shows.

Just noticed it again, this time on a page with an ampersand in the title it is shown as & (html &)