Unfortunately, the game does not provide a way to delete your save file in-game, nor it saves your progress in an external file.

The game actually saves your progress inside your PC registers.

To delete your save file, you have to: (On Windows)

• Access Register Editor by searching for "regedit" on your Windows Searcher or Win+R;
• Search for this path \HKEY_CURRENT_USER\SOFTWARE\Ichthyostego\GO THERE
• Delete "GO THERE" folder.

I would recommend you export this folder first before deleting it so you can keep a backup save