You needed to erase the whole physical drive in order to create a new partition table so that it recreates the hidden ESP (aka EFI) partition. You can try mounting the hidden EFI partition and deleting the "windows" folder that is on it. Usually the hidden EFI partition is "disk0s1", so within the Terminal app you will need to use the following command to mount the hidden EFI partition:
diskutil mount disk0s1
If this doesn't automatically open the Finder window to access it, then you will need to open a Finder window and navigate to "/Volumes/EFI". Delete the "windows" folder, then eject the volume. You should no longer see Windows as a startup option.
FYI, in order to remove Windows Bootcamp properly, you need to use the Bootcamp Assistant app to remove Windows which would delete the Windows partition & merge it back into your macOS volume as well as deleting the hidden boot items.