I am unable to delete a location from my site.

Locations that are still assigned to site users are unable to be deleted. You'll first need to find out which users are using this location by adding a filter to the Site Users list (SITE > User Management > Site Users > Click on the Filter icon).
You'll need to un-assign the location you want to delete from the site user and assign another location, then Save.
Once you've done this, you'll be able to go back and delete the location.