I have a couple of sites like that too. I have learned to just ignore it! However, I think you could get into the database and remove references there - to me, even though it aggravates my ocd side(!!), it was not worth the effort to find them. I think on one site, I was able to go through and manually uninstall each one but not sure I didn't have to redownload the folders first which took quite some time.
That issue first appeared 2.6 -> 2.7. Plugins check would show themes not installed that were to be removed ... and were never. No directories for those themes in moodle code.
*Only* way to remove is to use phpmyadmin/webmin mysql tool and manually edit mdl_config_plugins removing any rows you find for those themes.
Around 2.9 or so I finally got tired of seeing it ... and having to explain one more time ... to the site admins what was going on ... and manually edited said table. Finally, no longer listed.
While it's annoying right now, there is potential for stopping an update/upgrade to a site. Note I said 'potential'. Never a good idea to leave such things 'lurking' on the backend. So bite the bullet and fix it!
2 cent opinion, of course.
'spirit of sharing', Ken