This is Rae from Shopify.
If so, it's possible that this tag is still added to a few of the products in your admin, which is why it keeps showing up in this drop down list. To check if this is the case, just follow these steps to completely delete this tag:
Once you've completed these steps, I recommend clearing your browser cache. Then, go ahead and view your live site again and check to see if that tag still appears in your 'Filter by' drop down list.
In the meantime though, if you'd like a way to view all the tags on your products, or remove certain tags attached to each product, I suggest using our bulk editor. To ensure your product tags appear in this editor, just follow these steps.
Keep me posted on how this goes, and if this resolves things on your end!