You will learn here how to do something that no-one anywhere else on the internet can do!
The problem: for some bizarre reason, when you delete a mailbox in Apple’s Mail, instead of going to the Trash in Mail or the Trash in the computer, the folder and files just disappear. The dialogue box says (in one sense correctly) ‘This action cannot be undone’. However, it can because the files are still on your drive.
So you need to: