Just going to leave this here ……
Besides right-clicking, you can simply click on the dataset and hit the Delete key on your keyboard.
If you don’t see your dataset anywhere, it is probably floating somewhere outside your screen. You can use the Layers Panel to find it.
If the dataset is a dynamic dataset, you cannot delete these. You would have to delete the entire dynamic page as it is basically the “brains” of the whole page. The dynamic page would not exist with it.