This is currently not possible in Saucelabs. See this forum post for reference: http://support.saucelabs.com/entries/23076777-I-to-delete-seesions-
these jobs stay in your account indefinitely, as we've found that users prefer to maintain the records for future reference (for example, in case something starts failing in the future that previously passed).
UPDATE In the meantime they made it possible to delete jobs and resources through their REST API: https://docs.saucelabs.com/reference/rest-api/#delete-job