That is intentional. If we are able to remove a file we do it. Solution for you is easy: gpg .... -o - </dev/null >/dev/null

This looks like the same problem I encountered in Gentoo's Portage. To unlock the binary package signing key, Portage will run the equivalent of gpg --homedir ... --digest-algo ... --local-user ... --output /dev/null /dev/null. If unlocking fails (due to e.g. wrong password), /dev/null is removed: https://bugs.gentoo.org/912808