I am a Windows user,but assume procedure is similar, use History -> Show all history

You will be able to view history items and if wished delete them.

... As I wrote: Keys Alt+Shift+Delete, delete indeed the item selected in the location bar menu, but only temporary ! When I release the Location Bar and reopen it, the item is back where it was !

Entries in the location bar drop down list with a yellow (blue on Mac) star at the right end are bookmarks.
You can remove such a bookmarked item that shows in the list if you open that url in a tab and click the yellow star in the location bar.
This will open the Edit This Bookmark dialog and you can click the Remove button to remove the bookmark.

This can also be a problem with the file places.sqlite that stores the bookmarks and the history.

• http://kb.mozillazine.org/Bookmarks_history_and_toolbar_buttons_not_working_-_Firefox