Delays caused outside the EU by a non EU carrier don't trigger EU261 compensation. I had a 5 hrs delay on AI from CCU to BOM a while ago and missed my BOM MUC flight. AI did all they had to do: contacted LH to rebook me to the flight next day, put me up in a hotel with three meals and organized transfer to/from the hotel/airport. When I filed for 24 delay comp with the LBA they rejected it with the Non EU carrier outside EU argument.

I would take a chill pill and enjoy the trip. 2h40m in DEL is an easy transit.