There is no option in Mendix Studio Pro to delete an application. This can only be done from the developer portal.
Go to developer portal, click on 3 dots nearby your project name and click on remove app.
Hi NIRAJ SINGH,
As Tim said there is noo option to delete the application from the mendix studio pro desktop. you can delete the project in the local by navigation your project dir in explorer and you can download from teamserver whenever you need.