Site registration and newsletter subscription are 2 different things. A person does not need to be a registered site member in order to sign up for a newsletter though they can sign up for the newsletter as part of the site registration process.
You can remove the subscription by looking up the user in the newsletter administration and you can also unsubcribe a user from the same page where you can lock his account, on the newsletter subscriptions tab, but it does not happen automatically by locking an account.
Hope that helps,
Joe