How do I "Move to Trash" in Preview in OS X Lion?
Edit: apparently the menu item is still disabled when a window that doesn't have a sidebar is focused. It is not disabled in windows that have a sidebar though, so you could just open two or more images in the same window:
It doesn't like like there is a very good way of directly deleting the file. One shortcut that might help you quickly find the file so you can delete it is that if you command-click the title bar, the directory stack will show up. Selecting the top entry (the file itself) will open a finder window with the file highlighted. From there, you can command-delete it.