What are you actually trying to do? Many users who use the word "identity" are not using it in the way that Thunderbird does. In Thunderbird, identities are additional secondary addresses, usually aliases, attached to a primary account. If you want to delete an account, select it, go down to the bottom of the account settings page where you will find a button. It used to be labelled "Account Actions" but in my present build of Thunderbird it is less helpfully labelled "Add mail account…". This will expose a set of options, one of which is "Remove account".