Yes, you can.
This FAQ tells you how to delete a tax return in TurboTax Online (if it hasn’t been filed yet): https://turbotax.community.intuit.ca/community/navigating-turbotax/help/how-do-i-delete-a-return-in-the-online-version-of-turbotax/00/873611
If you are using TurboTax CD/Download, you can just delete the unwanted return file from your hard drive. By default, TurboTax CD/Download saves the file in a folder located at: C:\Users\yourname\Documents\TurboTax\ . Inside that folder, you’ll have another folder for each year you used TurboTax. So 2019 will have your .tt19 return files in it. You can also search your computer for .tt19 files, if you saved them somewhere else.
I tried to delete my unfinished file but there I no any option
@Mycanada If this is the only return in your account, you’ll need to start a new return before you can delete your existing one. To start a new return, select “Start a New Return” from under “My Returns”. Once you have started your new return, you can select “View All Tax Returns” from under “My Returns” and delete the unwanted return by clicking the small Trash Can 🗑 next to it (or “Delete” under the return name).