You haven't made it clear what constitutes empty but if we assume that the bookmark length = 0 means empty then you might do it this way
Code:
Sub Cleanup()
Dim x As Integer, sBkmk As String
For x = 60 To 1 Step -1
sBkmk = "Prob" & x
If ActiveDocument.Bookmarks.Exists(sBkmk) Then
If Len(ActiveDocument.Bookmarks(sBkmk).Range.Text) = 0 Then
ActiveDocument.Bookmarks(sBkmk).Range.Rows(1).Delete
End If
End If
Next x
End Sub