You can remove images from a gallery by selecting 'Manage Images' from the gallery admin pages. Hover over an image, and there is a white cross on a red background button which will remove the image from the gallery, database and your server.
The only way I can find to remove a whole gallery is from your mySql database itself, choose the table pg1_gallery, browse, and delete the gallery you don't want. BUT!! make sure you have deleted the images it contains via the gallery admin > 'Manage Images' first, or you will need to manually select and delete the files from the pg1_gallery_images table AND manually remove them from your remote server too.