Edit 'existing locations' for events
I don't think there is way to do this through the UI, although it does seem like something admins might need to do occasionally.

However, as the dropdown list of event locations seems to contain all the address fields, I am surprised that it is confusing. Even if they have the same name I would have thought there were enough other details to make picking the correct one easy.

If you are wanting to do a one-off cleanup of obsolete addresses than as a UI work around you could edit the old events that contain those obsolete locations and set the first address line to DO NOT USE  or NO LONGER IN USE or similar. 

I don't really know about good and bad practices for using the API, so what I am about to suggest could be a really bad idea.  If those old events no longer exist then a different approach might be to use the API to find the address ID, email ID and phone ID of the event location you want to delete, then use the API again to delete the location block associated with those values. 

If that is a really bad idea, a more knowledgeable person should feel to edit my answer and remove that part.