over 3 years ago - Shurenai - Direct link
It likely does, but was created in an earlier alpha than the one you're currently playing, and so is not shown in game.

Go to "C:\Users\\AppData\Roaming\7DaysToDie\GeneratedWorlds" (Also accessible by searching for '%appdata%' in windows and selecting 'Roaming')
and delete the worlds there that don't belong to a save you want to keep.