ive had this same problem but with only one foto inside an album.
i say ive had this problem because ive since tossed my iphone into the garbage.
all i can say is that ive researched, ive asked around (including here), and ive gone to great lengths to find a solution to this problem to no avail. you are searching for the eldorado here, and you wont find it.
ive ventured deep inside the jungles of the iphoto library in an attempt to find this pesky photo - which i did! - or thought i did... i manually deleted it. i also reset my phone several times, hoping iPhoto/itunes wouldnt put it back there... and they did. time and again.
i jailbroke my phone. learnt the ins and out of jailbreaking. asked even more questions specifically about this matter. i downloaded special photo management apps from cydia to deal with it.
all i could accomplish was moving the photo some place else. i hoped i would confuse itunes into putting it back into iphoto and then i could delete it there. but no... the photo would not go.
so i decided to get my hands dirty. i explored the depths of my phones file system myself. spent a whole afternoon only to discover that the photos are all compressed into some database. trying to find the one i wanted (or even its album!) was like trying to find a planet that hosts life amongst the stars.
i am sorry to be the bearer of bad news, but apple does not want you to delete your phone's photos. its not new. and most often than not, they get their way.