It's possible that there are files in some other user's trash. The .Trashes folder at the top of each volume has subfolders for each different user, by user ID number (e.g. user 502's trash is in .Trashes/502).
You can see if it for yourself using a command like this (replace VolumeName with your drive name):
ls -la /Volumes/VolumeName/.Trashes/
total 0
d-wx-wx-wt@ 3 _unknown _unknown 102 10 Feb 18:15 .
drwxrwxrwx@ 21 root wheel 782 13 Feb 14:17 ..
drwx------@ 35 _unknown _unknown 1190 13 Feb 14:18 502
Note: you might get a permissions error from this command, either because the .Trashes folder doesn't allow read access (solve this by adding sudo, e.g. sudo ls -ls ..., and entering your admin password when requested); and/or because of the privacy protections in macOS Mojave (10.14) and later (solve this by granting the Terminal access in System Preferences > Security & Privacy pane > Privacy tab > Full Disk Access category, see here for more details).
As you can see, on my USB disk .Trashes folder there's a sub foder called 502, owned by user ID 502 (for reference, my current user ID is 501). Since this user doesn't exist on my system, I see it as _unknown, and my user can't look inside of it, neither delete it. To look inside that folder we need to do it as administrator (i.e. use sudo).
If you are sure that you want to, you can delete everyone's trash by deleting the entire .Trashes folder with a command like:
sudo rm -R /Volumes/volumeName/.Trashes
Warning: as with anything involving sudo ("do as super user", i.e. system administrator) and rm -R, use this carefully. If you type it wrong, it could have ... unpleasant consequences.
I was having the same issue and here's what just worked for me:
Hold command, then drag it off the Favorites bar. The item will turn into a little "poof" white cloud and when you release, it'll go away! Finally!
Best Answer
First, open the trash can by clicking on it in the Dock.
In the Finder, press Command-shift-G (go to folder) and go to ~/.Trash
In the Finder window for .Trash, click the proxy icon in the title bar of the window and drag it to the sidebar.
You then have a trash folder in your sidebar.
To empty the trash from the sidebar, open Automator and create an application. As the sole action in the application, select "Run AppleScript" and use this AppleScript:
Save the application as "Empty Trash", and drag it to the sidebar.