Web UI Option
Today I discovered a way to do this with the Web UI.
So for Merge Request 14
https://gitlab.example.com/MyGroup/MyProject/merge_requests/14/edit
On the bottom Right you should see a red Delete button.
PowerShell Option
Invoke-RestMethod -Method Delete -Uri 'https://gitlab.example.com/api/v4/projects/PROJECT_ID_GOES_HERE/merge_requests/14' -Headers @{'PRIVATE-TOKEN'='PRIVATE_TOKEN_GOES_HERE'}