Vegas is non-destructive, the split is not actually in the source file. Delete the event immediately to either the right or left of the spilt then on the remaining event drag the edge adjacent to the split to the appropriate length replacing the media in the event you just deleted.
Also if you haven't edited Vegas yet after you do something then don't like it, just use the undo button. Use some caution since it is sequencial and you may "undo" what you didn't want before you get back far enough to undo what you did want.
A suggestion...
If you're very new to Vegas and even if you're not and you're working on a more complex project where you're not sure how the end result should look yet it makes sense to make frequent 'generation saves' myfile-A, myfile-B, myfile-C and so on every 5-10 minutes. That way, you'll never lose more than a few minutes.
Remember... you're just saving the VEG file doing this, so very little disk space should be needed.