Programmatically delete a webform submission by sid without first loading it
You always need to load before delete, there is no "better" solution.


  I am affraid from affecting the performance of the website since the
  above handler will be executed a lot


Loading one entity at a time is no performance issue whatsoever.

$webform_submission = \Drupal\webform\Entity\WebformSubmission::load($sid);
// Check if submission is returned.
if (!empty($webform_submission)) {
  //Delete the Submission
  $webform_submission-&gt;delete();
}