Hi!
That’s unfortunate, I wonder how it happened … ?
The relationship between events and venues (at database level) is basically in the form of an entry in the post meta table named _EventVenueID. The value of this is the venue post itself, so you could theoretically delete this or change the value in order to ‘point’ it to a different venue. There may very well be a plugin or other WordPress oriented tool to help with this, but none that I have personally used and can recommend unfortunately.
The general form of an SQL query to automate this operation if for instance you want to remove all of these entries would be:
DELETE FROM wp_postmeta WHERE meta_key = '_EventVenueID' AND meta_value = 'x';
Where x would be the ID of the venue post itself and wp_postmeta would be the name of the post meta table (quite often the prefix will be something other than wp_). Naturally you backup before doing this and should only follow this sort of approach if you feel comfortable doing so. Hope that helps!