To fill you in on a bit of theory/mentality you're missing:
You can't. They are immutable. You would instead create a new string without the letter that you want. If there are multiple such letters then that means that rather than create lots of new strings you would create one new string lacking all of those characters.
A list does not have this limitation, but you still would not want to do removals anywhere other than at or near the end because each removal involves moving all the following elements which can get costly for large numbers of operations on long lists. So again, creating a new one in one pass without the parts you want gone is the better approach.
You can implement anything you can describe in sufficient detail, just be aware that things have fixed behaviour regardless of what you want them to do. You may need some other thing or may want to use a different approach supported by the thing you're using.