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You said this: "Would disavow even be of any use though? I though that a disavow file had to be for the specific domain, so adding a disavow to all those links wouldn't do anything" When you disavow at the domain level, you also cover ALL the subdomains on that domain as well (even if they are deleted). So the best practice in this case, even if the domain isn't there anymore would be to just disavow those links. John Mueller clarified this in a Google+ thread back in 2014.

Hi Ruben, I had the same issue with one of the websites and what Bas has recommended is great. We've done both methods and it cleared 90% of them. We are still getting a few in the search console and I am planning to update the disavow list, and hopefully they will disappear completely. Hope Bas's recommendations will work for you. Good luck, Monica.

Thanks man!

Awesome! Thanks Bas. Thats a great idea. I'll give it a shot.