Drill all the way down and check the cell status of the lowest level of data. Try both navigating the quickview and navigating via the formal Drill Down menu. Alternatively, find that data in the System/Database/Data Records tool and check the status there (though you'll have to look up the status code meanings.) Knowing things like if the data is real or derived, if it's calculated, if it's durable, et al can provide insight into how it needs to be deleted. Durable data in particular can be tricky to delete.
If you want the scenario truly empty, then Nicolas' suggestion to attempt a Scenario Reset is the easiest way to get there but do note it is very thorough and resets stage data, cube data, workflow status: everything.