Your venue address will show as an option on your widget as long as it is linked to class type that has a term with future dates in it, even if that term has been turned off the widget or archived.
To stop the venue appearing in the widget, you have two options:
1) Find the term dates linked to that address and edit them so you delete all future dates
2) Find the term dates linked to that address and edit the Class Type (not the term date) so it links to a different venue.
Either of these options will stop the venue address being shown as an option on your widget