To remove a theme you simply delete the appropriate folder from your XOOPS themes folder.
Lets say you wish to remove the "crappy_theme" theme and that this is located in "/usr/www/mysite/themes/".
Just select the "crappy_theme" folder in the "/usr/www/mysite/themes/" folder and delete it.
You can do this either via FTP or shell access (telnet or ssh), or directly if you have file access to the web root folder.
Just make sure that the themes folder is readable (not writeable) by all afterwards or you wont see any themes in the preferences.