Can I delete a game that I won?

YES you can delete them but get then a suspension at sg.
You can only hide that games without a risk for your sg account

If you were to remove them from Steam, it would look (to SG users/staff) as if you never did activate the won game - so it's a good thing you asked, because doing so would lead to a suspension. I'm not entirely sure if there's another option, but one way you can delete won games is by reaching out to the giveaway creator directly and getting them to agree to delete the giveaway, at which point since the giveaway no longer exists you don't have to "prove" you've activated it and so you can freely delete it from your account.

However, I personally think it isn't worth the trouble. Steam has filters/ignore lists to hide games from your library, so unless seeing the game on your profile games list really annoys you, I'd just leave them be and learn from the mistake to avoid entering for games you don't want to have on your account.

Thanks!