This is following way you could write the class and scenario.

>To apply locking from apex code, choose the checkbox **Enable record locking and unlocking in Apex** as true, upon navigating `Setup->Create-> Workflows and Approvals -> Process Automation Settings`

[![Enable locking from Apex][1]][1]

    @istest
    public class TestNoteOnContentDocuments {
      static testmethod void NoteOnContentDoc()
      {
    	List<Apexpages.Message> msgs;
    	
    	//create testUser 
    	
    	System.runAs(testUser)
    	{
    		//create an account 
    		Account acct = new Account(Name='TEST_ACCT');
    		insert acct;
    		
    		ContentVersion contentVersion = new ContentVersion(
    		  Title = 'Penguins',
    		  PathOnClient = 'Penguins.jpg',
    		  VersionData = Blob.valueOf('Test Content'),
    		  IsMajorVersion = true
    		);
    		insert contentVersion;    
    		List<ContentDocument> documents = [SELECT Id, Title, LatestPublishedVersionId FROM ContentDocument];
    		
    		//create ContentDocumentLink  record for that account
    		ContentDocumentLink cdl = New ContentDocumentLink(
    					LinkedEntityId = acct.id, ContentDocumentId = documents[0].Id, shareType = 'V');
    		insert cdl;
    	
    		List<Account> accts = [SELECT Id from Account WHERE Name = 'TEST_ACCT'];
    		
    		//lock the account record.
    		Approval.LockResult[] lrList = Approval.lock(accts, false);
    		
    		Test.startTest();
    		try { delete documents; }
    		catch (Exception dmx) 
    		{ 
    		   Boolean expectedExceptionThrown = dmx.getMessage().contains('Approval pending. You do not have the permission to edit/delete this note/attachment, please contact your administrator.') ? true : false; 
    		   System.assertEquals(expectedExceptionThrown, true);  
    		}
    		
    		//Also it can tested like this through Apexpages.Message
    		
    		List<Apexpages.Message> msgs;
    		msgs = ApexPages.getMessages();
    			boolean isErrorMessage = false;
    			for(ApexPages.Message msg : msgs)
    			{
    				if (msg.getSummary().contains('Approval pending.') )
    				{
    					isErrorMessage  = true;
    				}
    			}
    		System.debug('testing messages');
    		System.assert(isErrorMessage);
    
    		Test.stopTest();
    	}
    	
    }


  [1]: https://i.sstatic.net/xoQfi.png