Delphi is not able to compile an InnoSetup project (EDIT The Delphi compiler itself can't compile an InnoSetup project. The Delphi IDE can do about anything using Post Build events) and as far as I can remember my Delphi days, there is no such thing as an "Installer Project" in Delphi like there is in Visual Studio.
A Delphi project is compiled into an exe/dll. You then use an InnoSetup script to describe how InnoSetup should install your application. Then you use the InnoSetup compiler to compile the script and your required other files into a setup.
Edit
To clarify what I'm trying to say:
There's no such thing as a "Setup Project" in Delphi, while it exists in Visual Studio. However, you can of course compile a setup script for a third party setup creator (like Inno Setup) in the project's Post Build event.