For others who may be confused with these instructions (which I have encountered multiple times, but are not clear).
You need to get to your sleep data screen that shows the colored bars with D | W | M | 6M tabs along the top. Some may suggest getting here via search, or through clicking sleep on your pinned summary. Once at this screen, the scroll to bottom is the confusing part.
The button you need is not at the bottom, its not at the bottom of the sleep data. Its towards the bottom, or maybe even in the last section. You need to scroll past all the 'about sleep' data, past all of the app suggestions, and get to where it says MORE. There should be a "Show All data >" option here. And it is THIS show all data that will list all the sleep stages recorded and allow you to "swipe and delete".