When you go to Content > Videos and delete the last video in a player, that player will not be deleted.
When you delete the last video from the player, the player will now appear as empty and contain a blank thumbnail.
An example of this is shown in the image below:
The player still exists, but it is shown as empty. If you want to delete a player as well, you can achieve this by going to Content > Players and then delete the relevant one.
Alternatively, you can delete the player first and toggle the switch that will delete the video as well.