Which system do you have installed?
I would first delete all photos from the album, and when they are gone, delet the shared album again using the delete command. That should remove all all photos, if you are the owner of the album. You cannot delete the album, if you are only a subscriber. use the device where you created the album, and the same AppleID.
If the album still does not vanish, check, if you have old entries in this folder in the user library:
~/Library/Application Support/iLifeAssetManagement/
The iLife applications used to store the photos from the shared albums and My Photo Stream there.