Firstly, I highly highly doubt something like an algorithm for Delaunays Triangulation is already built into the engine.
Are you trying to generate something at runtime?
As for normal Engine classes to look at, I would suggest UProceduralMeshComponent and UCustomMeshComponent.
If you want to try something made by the community, that is also free, I would suggest this: Runtime Mesh Lite in Code Plugins - UE Marketplace
He claims it is a lot better than the Engine version, which is probably true, as he has focused on it a lot lately, the Engine version might still be experimental.
I haven’t used it, but it might be worth a look.
What little documentation I could find on UProceduralMeshComponent:
It was experimental in 4.10, and I don’t know if it has improved since then.
Hope that helps get you started!