This is a easy fix. Click Start, Up to Settings, Down to Task Bar&Start Menu, Open tab Start Menu Programs, Click on Clear Button at bottom. This removes the contents of the Documents Menu.
Yeah, Windows 95 might not have that feature (right-click) but it is always worth trying right-click on anything just to see what sort of a menu pops up.
The list that appears when you bring up the Start Menu and click on Documents is whatever is in the folder C:\WINDOWS\Recent.
My Win 95 (4.00.950 B) does the right-click delete thing on the document list ok. BTW--these are just shortcuts, I believe--not actual files that are being deleted.