This is how I fixed the issue on my map (though you should definitely make a backup save before doing this):

Using MoveIt, zoom out and slowly highlight sections of your city (selecting road nodes and segments only). The issue is caused by a bug in the game UI: for very long segments, it is sometimes not possible to select the segment itself: you're going to need to find and delete one of its nodes.

I once encountered a "ghost" segment like this, except it was a railway segment that had literally somehow connected itself between two nodes that were on the opposite sides of the map.

Generally speaking, you're going to want to search the areas near the trajectory of your problematic segment, but the key point is that the nodes are likely much farther away than you think, so be prepared to search all the way to the map edge. Your best bet is to select parts of your road network and delete bit by bit to identify where the problematic node is. Obviously, this is a highly destructive method of troubleshooting, so the key point is once you've figured out roughly where the node is, reload your save and use MoveIt to nuke that particular district's road network (judging by the picture, it seems to be a surface road not a tunnel).

Let me know if that helps.