Select and delete contents below diagonal of cell array

or, if you like, you can use unions and select as you initially requested as well as deleting

Sub even_more_below_diag()
Const n As Long = 6
Dim i As Long, j As Long, u As Range
With ActiveCell.Resize(n, n)
    For i = 1 To n
        For j = 1 To i - 1
             If u Is Nothing Then
                Set u = .Cells(2, 1)
            Else
                Set u = Union(u, .Cells(i, j))
            End If
        Next j
    Next i
End With
u.ClearContents
u.Select
End Sub