I had the same problem, and found a way to delete it by modifying the database directly (Community v11). No easy way it seems.
Be very careful if you attempt this, you can destroy your database if its not done correctly.
This may also have some side effects that I am not aware of.
You need to first cancel all the inventory moves for the manufacturing order, there is an 'Inventory Moves' button on the manufacturing order in odoo which lets you delete the records.
Then this is the hard part, maybe. Login to the database via a postgres client program, how you do this depends largely on your installation and may not be possible in cloud based installs. I just login using psql over ssh. Locate the record in the mrp_production table. It seems the number in the MO/00001 relates to the id of the record, so that would id = 1, for me at least. But a query like this should find it and tell you the id of it:
select * from mrp_production where name = 'MO/00001';
or for just the id
select id from mrp_production where name = 'MO/00001';
Then you can cancel the manufacturing order with the following query, using the id you found in the previous query:
update mrp_production set state = 'cancel' where id = [ID];
for example:
update mrp_production set state = 'cancel' where id = 1;
Then you can delete the manufacturing order via the usual way using odoo.
Anyway may not be for everyone, but it seemed to work for me.