Currently, from what I have been informed, there is no way to delete favourite locations which have been added on the mobile phone all (Referring to iOS).
It would be helpful to be able to, at the very least, delete a favourite location as on the web portal. Or go vote for the "Popular favourites through all devices" idea I see that's popped up. That way, if you delete the favourite on the web, it'll be deleted on the mobile device. Win-win.