You can delete any review cycle, regardless of it's state.
To delete a review cycle, first navigate to Admin > Review Cycles.
Here you will see all the reviews you have created so far.
If you're using the grid view, you can delete a cycle by clicking the three dots in the top right and then clicking on Delete.
Alternatively, if using the list view, you can click on the delete icon under the actions column.
You will be asked to confirm your choice, as this action cannot be undone.
Your cycle is then deleted and will no longer show up under Review Cycles.