You needed to use Bootcamp Assistant to remove Windows from the system which will also re-merge the partition into the main macOS partition.
Were you able to delete & merge all the Windows' partitions back into the main macOS partiton? If not, then it will be easiest to completely start over with a clean install of macOS by first erasing the whole physical drive followed by installing macOS & restoring from a backup.
If you were able to merge the Windows partitions back into the main macOS partition, then you just need to delete the "windows" folder from the hidden ESP (aka EFI partition). You can use the following command in the Terminal app to manually mount this hidden partition:
diskutil mount disk0s1
You should now see a volume titled "EFI" in the Finder which has been mounted at "/Volumes/EFI". Just delete the "windows" folder, then eject the volume. You should no longer see a Windows boot option if all the other Windows related partitions have been deleted.