1. Please change the Debug select from SWD to GPIO (if Debug is not needed). In Design Wide Resources Go to "system" view and change "Debug Select" to GPIO.
2. Also, if you don't want to use the GPIO pins whole time, you can put the pin drive mode into Analog High Z using APIs Pin_SetDriveMode(Pin_DM_ALG_HIZ) before entering into Deepsleep. And can switch back to normal drive mode when pins are used. Please refer the section 6.3 GPIOs of AN86233.
In your project, WDT or BLESS will wakeup the system from Deepsleep. BLESS will wake up every advertising interval and this will wake up the MCU from Deepsleep. To get more details on using BLE and low power modes please go through AN92584 application note.
First of all I want to thank you P Yugandhar for your Response.
Regarding 1. Thanks pointing it out, it cut the current consumption in half. Very nice.
Regarding 2. The GPIO Pins were a left overs of the example Project so those got deleted. Again thanks for pointing it out.
Now for the Problem it self, I tried calculating the current consumption via a Oscilloscope by measuring the voltage at a known resistor.
Which worked fine for the aktiv and sleep mode since the cosume more than 1 mA which btw is the Limit of the Oscilloscope I am using.
You my notice the Problem there. So I switched to a Digitale Multimeter which can measure nA and for my relieve I could see that the Chip is entering into the deep sleep mode as wanted.
TL,DR Wrong type of measurement Equipment.