How to delete files in /System/Library/Desktop Pictures on Catalina?
As a general rule I do not recommend deleting system files, however, if you really want to remove the default wallpapers you can do the following:


Boot to macOS Recovery by pressing ⌘R when booting the Mac.
Using Terminal, from the Utilities menu, use the following commands:

cd /Volumes/Macintosh\ HD/System/Library/Desktop\ Pictures
rm *.heic
reboot