After picking any quantity of a Pick Order, that Pick Order cannot be deleted. The line item(s) cannot be set to zero quantity. Is there a way to cancel the Pick Order?

No, there is not a way to delete a Pick Order that was partially or fully picked by mistake. Instead, use the green button's popup menu to Save and Close the Pick Order (if necessary, confirm the Close Short operation), then manually add the picked quantity back into the Site/Location it came from.