Boot menu shows non-existent boot drives I used to run a Boot Camp partition on my Macbook Air (Early 2015, Catalina). When I didn't need it anymore I deleted the partition using Disk Utility.

However, I noticed that when I boot up my Macbook while holding down option to show the boot drives, it shows my old Windows drive. 

When I select it, it fails with the following screen:


I also did a full reinstall of Mac OS recently using Internet Recovery where I reformatted the entire drive. The Windows option still appears even after the reinstall, which means there are artifacts left over.

What's causing this behaviour? Where are these boot options stored and how would I go about deleting the Windows option?

Thanks!
The Microsoft bootloader program  bootmgfw.efi is found in the EFI partition on disk either in the EFI/Boot directory, the EFI/Microsoft directory or both.

While it is acceptable (according to UEFI specifications) to have several EFI partitions both Apple and Microsoft expect there to be only one.

You say "I reformatted the entire drive" but unless you went to Disk Utility and actually overwrote the data with zeros you most likely didn't.  It can be a bit convoluted to do this - see How to Secure Erase a Mac SSD / Hard Disk from Recovery Mode 

What you likely did is take the option in the macOS installer to reinstall.  This deleted the partition tables and then the installer created new partitions including a new EFI partition with exactly the same start and end positions - macOS will always create a 200MiB EFI partition from sector 40 to sector 409639.  As macOS doesn't generally use the EFI partition whatever was there before will miraculously be there again.

To remove the straggling MS files first delete any Microsoft directory in the EFI partition:


disable SIP as described here How to Disable System Integrity Protection (rootless) in Mac OS X
create mount point for EFI partition with mkdir /Volumes/ESP
mount EFI partition with sudo mount -t msdos /dev/disk0s1 /Volumes/ESP
check if MS directory is still there with ls /Volumes/ESP/EFI/Microsoft
delete it with sudo rm -r /Volumes/ESP/EFI/Microsoft
delete EFI/Boot too if it exists with sudo rm -r /Volumes/ESP/EFI/Boot  
alternatively delete everything except for the EFI/APPLE directory using Finder and empty the trash.  





Then to be tidy you may also want to delete any Microsoft NVRAM entry. It isn't easy to delete specific entries from macOS so the easiest way is to delete everything with the nvram -c command as explained here How to View &amp; Clear the Mac NVRAM Contents from Terminal in Mac OS X or press  alt   cmd  P  R  at boot as described in this Apple document Reset NVRAM or PRAM on your Mac
Finally, reboot and if all is OK re-enable SIP.