Open that playlist and tap the 3 dots on the right. Then choose delete from Library.
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Can you force touch the playlist and see if you can delete it from the pop up?
If not, you have to be able to delete it on a computer in iTunes.
I just now noticed it's in the last played section. I don't have that section on my iPhone but I don't think you can unplay a song / station.
Hopefully someone with more insight will come along to help you out.
Edit: I noticed that it is under the For You tab.
My previous statement stands: you can't unplay a song / station. I don't know what the time limit is for a song or station to keep appearing on that overview, but I'm sure it will disappear after a given time.