[EDIT: DFS is faster than Dijkstra for just checking connectivity, thanks to Jørgen Fogh]
If the edge you're removing is uv, check (e.g. using DFS) whether there remains a path u->...->v. If so, the graph is still strongly connected if it was before. If not, then it's clearly no longer strongly connected.
The idea is that any path between two vertices x and y that previously used the edge uv can be edited to use the new path u->...->v. Simply replacing the edge uv with this new path might cause some vertices to be visited more than once -- but in this case, the path contains one or more directed cycles which can be removed, until the remaining path visits each vertex at most once.