Delete email in Mail on iCloud.com
Deleted messages are moved to the Trash mailbox. After you delete a message, it is saved in your Trash for 30 days, after which it is permanently erased from the Trash. You can change where your deleted messages are stored so they are not permanently erased.
Delete email
In Mail on iCloud.com, select the message or messages you want to delete.
Do any of the following:
Click the Delete button
in the toolbar.
If you do not see the Delete button
in the toolbar, click the Action pop-up menu 
in the sidebar, then choose Preferences. In the General pane, deselect “Show Archive icon in the toolbar”.Press the delete or backspace key.
Drag messages to the Trash in the sidebar.
If you do not see the sidebar, see Show or hide the sidebar in Mail on iCloud.com.
Empty the Trash
Deleted emails are permanently erased from the Trash after 30 days. You can also empty the Trash manually if you want to erase all deleted emails sooner.
In Mail on iCloud.com, click the Action pop-up menu
in the sidebar.If you do not see the sidebar, see Show or hide the sidebar in Mail on iCloud.com.
Choose Empty Trash.
Erase emails immediately and permanently
You can set iCloud Mail to permanently and immediately erase messages when you delete them, instead of storing them in the Trash for 30 days.
In Mail on iCloud.com, click the Action pop-up menu
in the sidebar, then choose Preferences.If you do not see the sidebar, see Show or hide the sidebar in Mail on iCloud.com.
In the General pane, deselect “Move deleted messages to”, then click Done.
If you do not want your deleted emails to be permanently erased
By default, iCloud Mail moves messages to the Trash when you delete them, and messages in the Trash are erased permanently after 30 days. If you do not want your messages to be automatically erased after 30 days, you can have iCloud Mail move them to another folder.
In Mail on iCloud.com, click the Action pop-up menu
in the sidebar, then choose Preferences.If you do not see the sidebar, see Show or hide the sidebar in Mail on iCloud.com.
In the General pane, select “Move deleted messages to”, choose another folder from the menu, then click Done.
Note: You might run into storage issues if deleted messages are not erased permanently after 30 days. To make more space available in iCloud, see the Apple Support article Manage your iCloud storage.
To delete Mail folders, see Organise email with folders in Mail on iCloud.com.