How to delete a previously created custom entity?

There is no a «delete» button on an entity’s page.
There is no a «delete» button on the entity’s grid page.
But there is a way to delete a custom entity.

It you have set the «Custom» value for the «Type» filter on the «Manage filters» toolbar above the entities grid, then the last column of the grid will show dots**.
Hover your mouse above the dots, and you will see the «delete» button.