Chopin's use of "delicious" is a form of imagery. Because Chopin mixes senses by using a word normally associated with taste to describe living (hence the word "breath"), her word choice is also an example of synesthesia, a literary device which mixes sensory images (i.e., He hit a sour note on the trumpet.).
More important is Chopin's choice of a word with a decidedly positive connotation to describe something such as rain that is normally a symbol of grief. Mrs. Mallard is the one tasting the "delicious breath," and her positive reaction to the rain is pivotal to the story's plot and theme. While Mrs. Mallard originally mourned her husband's death, her outlook changes as she sits in her room and ponders her future. When she considers her newly found independence and all that it entails, she feels as if she is beginning life anew. Instead of the rain symbolizing her tears and mourning for her husband, it serves as a washing away of her past life and a fresh start ("breathing new life").
Here, the author is trying to make a scent or sensation more vivid by attaching a taste-based adjective: delicious. By making the reader "taste" the smell of rain, it stands out more in his/her mind. This use of language is very similar to other forms of imagery, such as metaphor or other analogies. We know, for instance that men are not mountains, but if an author describes a man as a mountain, we can distinctly picture a larger-than-average male character in our mind's eye.