I have a Linux PC and Windows laptop. Somehow between them I have created duplicate files. E.g DSCF_4935.xmp and DSCF_4935.XMP.
Directory Opus shows both files, but if I try to delete the .xmp file, it deletes the .XMP file every time.
What does File Explorer do?
Unless you're using FTP or SFTP to access the Linux machine, filesystems of SMB network drives are assumed to be case-insensitive (by both the Windows API and most Windows software). You may need to delete the file on the Linux server (or via SSH, SFTP or FTP).
Exactly the same 
The issue is most likely at the OS level in that case. (And possibly on the server side, not the Windows side. The request to delete the file should use the same case as the selected file, so the Samba server should be able to pick the correct file even while simulating a case-insensitive filesystem. It also arguably shouldn't be returning both files in the directory listing in this situation.)
If you can FTP/SFTP to the server, that would work, since Opus supports case-sensitive FTP/SFTP sites. But if it's just one file then logging in to the server to delete it is probably the easiest thing.
The files are on a USB stick.
The only solution I found was to delete both and copy the 'correct' one from backup, unfortunately that is very timeconsuming.
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Maybe you can work around it a bit easier by renaming one of them? I'm not sure if you could predict which file would be renamed (it will be down to Windows and the filesystem) but it should then leave you with two distinct names for the two files, where you can delete one and, if needed, rename the other back.