I had an old pull request hanging around in TFS and could not delete it since it's branch had been delete months ago. Through the GUI, you cannot delete the Pull Request.
Simple steps to delete:
1. Create a new git branch with the same name as the deleted one.
2. Make a small change in the code.
3. Push the branch to the origin
4. On the TFS website you can now "Close" the zombie Pull Request.