The early Christians denied deliverance from their persecutions because they knew that it was the will of God.

Remember that I italised the word. I know it's not common in our days. But remember that John gladly endured the pain of been burned in oil. Also listen

Acts 5:41 The apostles left the high council rejoicing that God had counted them worthy to suffer disgrace for the name of Jesus.

Do you think these apostle will ever ask to be immune to sufferings?

Also picture it this way, Jesus could have called for delicerance from the hands of those who persecuted and crucified him but he knew that it easy God's will that he suffers. That's how the early church saw it and it produced a lot of martyres.