Hey I had the exact same problem today (an untitled wiki that cannot be removed), but managed to resolve it quickly.
I went to the backstage of the TiddlyWiki Desktop, and click “this folder” as recommended:
In the folder you can pretty easily identify the untitled wiki among all other wikis you are working with (Sorry you cannot see the untitled wiki from this picture below because I had already deleted it before I took the screenshot):
Locate the bugged wiki file. But before you delete it, make sure you close all your wikis, tiddlers, and the Desktop (also suggested in the backstage). Delete it, and then restart your desktop. It should not be there anymore!