1. Is there any way to remove default Theme nopcommerce?
The default theme contains the only single file (Head.csthml) and styles (see here). Removing it, will not help you with your case.
2. how page cycle in nopcommerce works?
Any third party theme is build of some pages, not all. If the application will need to call a specific page, and will not find that file at used theme, it will load from default views.
when i create new theme it always redirect to Default Clean
I guess, your theme does not include the required cshtml file. Not sure which version of nopCommerce you are using, but 4.20 version requires to call restart each change at the file to see any result.