>> CMD-X <<
In Apple’s Mail.app, there is no regular way to delete an e-mail, without sending it to the trash folder first. That sucks, because you either need to delete them there manually a second time or regularly empty the trash folder.
But you can just “Cut”, as in “Cut and Paste” the whole e-mail, without pasting it anywhere. If you do that, the e-mail is immediately deleted from your Inbox or whatever folder it was in. You even have a small backup: Should you accidentally delete the wrong e-mail, you can just paste it back in.