Change to

declare @q varchar(max)

SELECT @q = ISNULL(@q, '') + 'DELETE FROM ' + tablename + ' where tid =' + convert(char,rowid) + '; ' from #incoming where action = 0

exec(@q)

but beware the dangers of this type of dynamic sql.

Edit: Read about the dangers here http://www.sommarskog.se/dynamic_sql.html