When I delete photos from my cloud subscription, the storage doesn’t change.

You do know that in that cloud storage, files you delete go into the deleted folder for 90 days before actually being permanently deleted? You can open the deleted folder and fully delete them .

see:

https://helpx.adobe.com/creative-cloud/help/delete-files-permanently.html

What is your Cloud storage allowance? The standard allowance with the Lr Classic Photography Plan is only 20GB, though that can be increased in 1TB amounts (at $9.99 per month extra per 1TB). If most of those 40,000 images were synced from LrClassic, understand that LrC only uploads Smart Previews of your originals.....and these do not count against whatever Cloud storage allowance you have. If that is your situation, then deleting 10,000 or so of those smart previews will indeed have no effect on your storage limit. 

If you do only have a 20GB allowance, it's likely that it is being used up by original images uploaded from your phone, so they would be the images to tackle in order to reduce the amount of space used. Many Classic-based users will upload the originals from their phone, wait for them to download into Classic, then delete them from the cloud to free up the space, then re-sync them again but this time from Classic....thus putting smart previews of them into the cloud, at no cost against the cloud storage limit.

All guesswork on my part, so do let us know what your actual cloud storage limit is.