Magento no lleva de serie un sistema para borrar pedidos. Aun así la manera mas fácil sería borrarlos de golpe mediante SQL.

Aquí tenemos el script necesario para eliminar los pedidos de prueba de Magento. Para las ordenes elegiremos el que necesitemos según nuestra base de datos

/* reset orders 1 */
TRUNCATE `sales_order`;
TRUNCATE `sales_order_datetime`;
TRUNCATE `sales_order_decimal`;
TRUNCATE `sales_order_entity`;
TRUNCATE `sales_order_entity_datetime`;
TRUNCATE `sales_order_entity_decimal`;
TRUNCATE `sales_order_entity_int`;
TRUNCATE `sales_order_entity_text`;
TRUNCATE `sales_order_entity_varchar`;
TRUNCATE `sales_order_int`;
TRUNCATE `sales_order_text`;
TRUNCATE `sales_order_varchar`;
TRUNCATE `sales_quote`;
TRUNCATE `sales_quote_address`;
TRUNCATE `sales_quote_address_decimal`;
TRUNCATE `sales_quote_address_int`;
TRUNCATE `sales_quote_address_text`;
TRUNCATE `sales_quote_address_varchar`;
TRUNCATE `sales_quote_decimal`;
TRUNCATE `sales_quote_entity`;
TRUNCATE `sales_quote_entity_datetime`;
TRUNCATE `sales_quote_entity_decimal`;
TRUNCATE `sales_quote_entity_int`;
TRUNCATE `sales_quote_entity_text`;
TRUNCATE `sales_quote_entity_varchar`;
TRUNCATE `sales_quote_int`;
TRUNCATE `sales_quote_item`;
TRUNCATE `sales_quote_item_decimal`;
TRUNCATE `sales_quote_item_int`;
TRUNCATE `sales_quote_item_text`;
TRUNCATE `sales_quote_item_varchar`;
TRUNCATE `sales_quote_rule`;
TRUNCATE `sales_quote_text`;
TRUNCATE `sales_quote_varchar`;
TRUNCATE `sendfriend_log`;
TRUNCATE `tag`;
TRUNCATE `tag_relation`;
TRUNCATE `tag_summary`;
TRUNCATE `wishlist`;
TRUNCATE `log_quote`;
TRUNCATE `report_event`;

ALTER TABLE `sales_order` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_datetime` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_decimal` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_entity` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_entity_datetime` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_entity_decimal` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_entity_int` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_entity_text` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_entity_varchar` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_int` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_text` AUTO_INCREMENT=1;
ALTER TABLE `sales_order_varchar` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_address` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_address_decimal` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_address_int` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_address_text` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_address_varchar` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_decimal` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_entity` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_entity_datetime` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_entity_decimal` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_entity_int` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_entity_text` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_entity_varchar` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_int` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_item` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_item_decimal` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_item_int` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_item_text` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_item_varchar` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_rule` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_text` AUTO_INCREMENT=1;
ALTER TABLE `sales_quote_varchar` AUTO_INCREMENT=1;
ALTER TABLE `sendfriend_log` AUTO_INCREMENT=1;
ALTER TABLE `tag` AUTO_INCREMENT=1;
ALTER TABLE `tag_relation` AUTO_INCREMENT=1;
ALTER TABLE `tag_summary` AUTO_INCREMENT=1;
ALTER TABLE `wishlist` AUTO_INCREMENT=1;
ALTER TABLE `log_quote` AUTO_INCREMENT=1;
ALTER TABLE `report_event` AUTO_INCREMENT=1;

/* reset orders 2*/
SET FOREIGN_KEY_CHECKS=0;

TRUNCATE `sales_flat_creditmemo`;
TRUNCATE `sales_flat_creditmemo_comment`;
TRUNCATE `sales_flat_creditmemo_grid`;
TRUNCATE `sales_flat_creditmemo_item`;
TRUNCATE `sales_flat_invoice`;
TRUNCATE `sales_flat_invoice_comment`;
TRUNCATE `sales_flat_invoice_grid`;
TRUNCATE `sales_flat_invoice_item`;
TRUNCATE `sales_flat_order`;
TRUNCATE `sales_flat_order_address`;
TRUNCATE `sales_flat_order_grid`;
TRUNCATE `sales_flat_order_item`;
TRUNCATE `sales_flat_order_payment`;
TRUNCATE `sales_flat_order_status_history`;
TRUNCATE `sales_flat_quote`;
TRUNCATE `sales_flat_quote_address`;
TRUNCATE `sales_flat_quote_address_item`;
TRUNCATE `sales_flat_quote_item`;
TRUNCATE `sales_flat_quote_item_option`;
TRUNCATE `sales_flat_quote_payment`;
TRUNCATE `sales_flat_quote_shipping_rate`;
TRUNCATE `sales_flat_shipment`;
TRUNCATE `sales_flat_shipment_comment`;
TRUNCATE `sales_flat_shipment_grid`;
TRUNCATE `sales_flat_shipment_item`;
TRUNCATE `sales_flat_shipment_track`;
TRUNCATE `sales_invoiced_aggregated`;            # ??
TRUNCATE `sales_invoiced_aggregated_order`;        # ??
TRUNCATE `log_quote`;
 
ALTER TABLE `sales_flat_creditmemo_comment` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_creditmemo_grid` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_creditmemo_item` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_invoice` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_invoice_comment` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_invoice_grid` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_invoice_item` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_order` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_order_address` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_order_grid` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_order_item` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_order_payment` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_order_status_history` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_quote` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_quote_address` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_quote_address_item` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_quote_item` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_quote_item_option` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_quote_payment` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_quote_shipping_rate` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_shipment` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_shipment_comment` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_shipment_grid` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_shipment_item` AUTO_INCREMENT=1;
ALTER TABLE `sales_flat_shipment_track` AUTO_INCREMENT=1;
ALTER TABLE `sales_invoiced_aggregated` AUTO_INCREMENT=1;
ALTER TABLE `sales_invoiced_aggregated_order` AUTO_INCREMENT=1;
ALTER TABLE `log_quote` AUTO_INCREMENT=1;

/* reset customers */
TRUNCATE `customer_address_entity`;
TRUNCATE `customer_address_entity_datetime`;
TRUNCATE `customer_address_entity_decimal`;
TRUNCATE `customer_address_entity_int`;
TRUNCATE `customer_address_entity_text`;
TRUNCATE `customer_address_entity_varchar`;
TRUNCATE `customer_entity`;
TRUNCATE `customer_entity_datetime`;
TRUNCATE `customer_entity_decimal`;
TRUNCATE `customer_entity_int`;
TRUNCATE `customer_entity_text`;
TRUNCATE `customer_entity_varchar`;
TRUNCATE `log_customer`;
TRUNCATE `log_visitor`;
TRUNCATE `log_visitor_info`;

ALTER TABLE `customer_address_entity` AUTO_INCREMENT=1;
ALTER TABLE `customer_address_entity_datetime` AUTO_INCREMENT=1;
ALTER TABLE `customer_address_entity_decimal` AUTO_INCREMENT=1;
ALTER TABLE `customer_address_entity_int` AUTO_INCREMENT=1;
ALTER TABLE `customer_address_entity_text` AUTO_INCREMENT=1;
ALTER TABLE `customer_address_entity_varchar` AUTO_INCREMENT=1;
ALTER TABLE `customer_entity` AUTO_INCREMENT=1;
ALTER TABLE `customer_entity_datetime` AUTO_INCREMENT=1;
ALTER TABLE `customer_entity_decimal` AUTO_INCREMENT=1;
ALTER TABLE `customer_entity_int` AUTO_INCREMENT=1;
ALTER TABLE `customer_entity_text` AUTO_INCREMENT=1;
ALTER TABLE `customer_entity_varchar` AUTO_INCREMENT=1;
ALTER TABLE `log_customer` AUTO_INCREMENT=1;
ALTER TABLE `log_visitor` AUTO_INCREMENT=1;
ALTER TABLE `log_visitor_info` AUTO_INCREMENT=1;

-- Reset all ID counters
TRUNCATE `eav_entity_store`;
ALTER TABLE  `eav_entity_store` AUTO_INCREMENT=1;