Right click, and choose Delete. Alternatively you can also select Edit▸ Delete to delete the key.
When you delete a GnuPG key that has been published on a key server, you only delete the key in your GnuPG keyring because a copy of the public key will still be present on some key server.
If you delete your GnuPG key, this means that your private key will be permanently deleted, even though your public key can still be retrieved from a key server and used to encrypt messages to you that you won't be able to read! To prevent such a key from being used, retrieve and revoke the key. The revoked key can then be synced with a key server to prevent people from retrieving and using it.