Do you have the app set to display weather for your current location? That's what it is... you can't delete it. You can go into settings for the app and turn off showing weather for your current location.
My iPhone weather app came with the city Cupertino on it. It won't let me delete it either. Frustrating! And New York was added by accident by me and I can't delete that either. Any help on how to delete places from it on the iPhone 6 plus? Thanks!