I don't think you can.

I was hoping there is a way to delete them.

The business list is super long and some of my clients have closed their doors and there is nothing there to file.  Also some of the employees have quit.

There is a delete button but when I click on delete it says that can not delete when there is prior returns.

I have waited for a full year with out filing any forms for the company and I still can not delete them.

That's what I experience, too.