Hi,
There is indeed no way to delete a status once you create it but you can unpublish it. If you really want to delete it, you can remove it from the hikashop_orderstatus table via your phpmyadmin.
Note that the name of the status shouldn't be a problem. However, it has to be enabled under the "unpaid" column of the System>Order statuses menu. Please check on that.
If that doesn't help, please provide a screenshot of that page and provide step by step instructions of what you do (with screenshots) so that we can understand exactly the situation.