What the flipping 'ell is an "SE" file?
You did not answer this question -- "SE" file is not standard terminology so nobody responding on this forum has any idea what you mean by the term. If you mean sequential data set (z/OS only has files on tape and in Unix System Services -- everything else is a data set), then you should say so. Using non-standard abbreviations is not a good way to get your question answered.
You asked a yes / no question in your original post -- yes, it is possible (depending upon what you meant by "SE" file). Depending upon what "SE" file means, you may have to read the entire input data set, and write to a new (different) data set every record except the one you want to delete, but you didn't provide enough information in your post for us to help you identify a precise solution.