PyMOL sometimes displays bonds which are not correct and can be confusing. To remove a bond between to atoms, first set the selection argument to "Atoms", then select the first atom involved in the bond and rename its selection identifier to, e.g., "atm1". Unselect the atom, select the second atom of the bond, rename the selection identifier to "atm2".
Then enter the following at the PyMOL prompt:
cmd.unbond("(atm1)", "(atm2)")
Be sure to include all parentheses and quotation marks.