No, it's not something that can be done in the control panel. You will need to remove the files from the pm_topics directory. You can use the creation date to decide which ones to get rid of.
Once you've deleted them, they will no longer show up in the member's PM list, but the PM count will probably be wrong. If you put in support ticket, we can provide you with a "PM rebuilder" that should correct the count.
In future versions, we will have a PM removal feature in the control panel.