A power user who’s aware they didn’t save would be confused, as there isn’t any file to delete. I would prefer “Discard”, which would also be applicable to the case of not saving changes to an existing file, where “Delete” would be entirely inappropriate.

… but, a power power user would know that it was transparently saved every several keystrokes, even while named Untitled and ostensibly unsaved, ready for immediate transparent recovery on relaunch, after an app or system crash -- so they might again be okay with it.