It's not really a 'Jail'. It's supposed to be like "Windows Sandbox". If you are on Win10Home, you can do this in WSL.
I use Linux on my host.
If you can't delete the VM files, delete them using a console in recovery mode.

So, Open Terminal. Then you can run:

cd ~
mkdir jails
cd jails
mkdir $WHAT_YOU_WANT_TO_CALL_IT
pushd $WHAT_YOU_JUST_PUT
sudo curl -O http://tinycorelinux.net/5.x/x86_64/archive/5.4/distribution_files/rootfs64.gz
sudo gunzip rootfs64.gz
sudo cpio -id < rootfs64
sudo rm rootfs64 rootfs64.gz
sudo chroot .
popd

The lines with Sudo except the Chroot, is to prevent permission errors.

It's pretty simple. Right?