There isn't a way to do so
directly from within Safari. However, you can easily retrieve a Safari download (and delete it quickly) if you are still able to view it in the Downloads window in Safari.
If the Downloads window is still open, click on it to bring it to the front. If it isn't open, click on the Window menu and choose "Downloads." If your recent downloads are still visible in the list, click on the magnifying-glass icon to the right of a file's name, as circled in this screenshot:
This will open a Finder window with that file selected. To delete the file, click Command-Delete on your keyboard.
I use this method often for the purpose you're describing, after a session of recent downloads that need cleaning up, or when I've accidentally downloaded a file.
Keep in mind that you can determine how long files remain listed in the Downloads window in Safari > Preferences > General, in the menu next to "Remove download list items." If you keep that set to "Manually," Safari will retain that list until you delete them yourself by clicking the "Clear" button at the bottom of the Downloads window, or by clicking on individual file names in the Downloads window and clicking the Delete key.
Message was edited by: Rachel R