I don't know what they used in depression era cameras, but at least with "modern" roll of film (i.e. 35mm) the "negatives" are one strip of film containing one image after the other. You don't have individual "photos" as individual physical artifacts, they're just one small part of the strip on which they're taken.

So if you're going to develop a roll of film, but don't want to develop everything, you could just mark the shots you don't want in some way (i.e. a hole punch or a marker) and you'd know to skip them.

Yes, that's a plausible explanation. I think I noticed sprocket holes on at least one of the frames.

It still seems rather destructive; celluloid film was pricey, so I thought they used to re-use it.