"I shall come to Delhi" is equally valid, but not accepted at this time by Duolingo. In fact, shall used to be considered the correct, non-emphatic future auxiliary verb used with first person subjects, while will was used for second and third person subjects. The emphatic future auxiliary verbs are reversed: will for first person and shall for second and third persons. Hardly anyone knows this these days, however. Nevertheless, the use of shall is still correct.