How to remove holidays from my iPhone

Apple's U.S. Holidays calendar includes the 10 U.S. Federal Holidays, established by Congress and officially only applying to Federal employees (Congress has no power to make holidays for anyone else), as well as the holidays of the five most-practiced religions in the U.S. as well as a few random others. It's an all or nothing proposition. You can subscribe or unsubscribe to the entire calendar. You cannot delete individual events from this (or any other) subscribed calendar.

Open the Calendar app. Tap the word "Calendars" in the middle of the bottom of the screen. Uncheck the calendars you don't want to use.

Unsubscribe from the standard holiday calendar, which contains both government holidays and holidays for most major religions, and subscribe to one that meets your particular needs.

You also might want to take a look at this user tip:

Create Your Own Holiday Calendar From A S… - Apple Community

I think you're in the wrong place. Tap on the icon for the calendar app.

I believe that's the correct calendar.