If you're referring to the native app. Click the three lines in the lower right corner of the app. Choose the location you want to delete and swipe left on the location. You'll see a red box click delete.
1. Initiate the native Weather app.
2. Tap on the icon depicting 3 lines at the bottom right corner of the screen.
3. Swipe "left" on the city you want to delete.
4. Tap "Delete"