Go to Settings, then Publications, and click on any of your publications.
Click the green New Issue button in the top-right of the screen. You will now see that any created issues which currently have no bookings show red. Click on any of these and you will be able to delete the issue.
If you wish to delete an issue which still has invoices or bookings relating to it, you will need to first delete these bookings and invoices. You will not see the red box until you have done this.
NOTE: If an issue only has 'on going' bookings it will still show as red and can be deleted. (The on going bookings are automatically added when an issue is created) So even if the issue was deleted by mistake as soon as you re-create it the on going bookings would be added back in again.