Have you tried restarting the Mac?
If it still shows up after restarting the Mac, then try booting into Safe Mode. Does it appear on the Finder sidebar while in Safe Mode? If it is gone, then reboot normally to see if it is gone when booted normally.
If it still shows up, then see if it is a Login Item (see the Users & Groups System Preferences).
If neither of these get rid of it, then we can explore using the command line to attempt to "unattach" the volume.
Edit: Forgot to include a link for using Safe Mode:
How to use safe mode on your Mac - Apple Support