How to correctly re-use pointer object to custom class

I have a lot of code so I am going to try to do this with as little as possible to show you guys.

I am writing a program that is leaking memory, my efforts of cleaning up memory is causing my program to crash (only in Visual Studio, not using MinGw). I am using Visual Studio 2015 to debug my code, and see how much memory I am using. However, when adding the delete keyword to try to free up some memory Visual Studio triggers a breakpont. When following the breakpoint to try and figure out whats wrong, VS takes me to a page that says 'No Source Available'.

Compiling this same code with MinGw gcc works find and executes fine, however I need Visual Studio's debugger so I can see my memory usage so that I can determine if the leak is fixed or not.

I am creating a lot of objects dynamically and re assigning new objects to them, I need help figuring out how to delete the old memory so I can only keep in memory the newly created object.

Here is the code that I am concerned with

StateNode *initState = nullptr;                 // Pointer to the initial state
StateNode *finishState = nullptr;               // Pointer to the final state
bool finished = false;                          // Flag for checking if the puzzle has completed    

size = getNumQueens();

// Make dynamic 2D array of the specified size
char** init = new char*[size];
for (int i = 0; i < size; i++)
    init[i] = new char[size];


// Puzzle main loop
while (!finished)
{       
    // Randomize the queens placement on the board
    randomizeGame(init, size);

    // Make the initial state with the current game board
    initState = new StateNode(init, size);

    // Run the hillclimbing algo
    finishState = HillClimbing<StateNode>::Run(initState, size);

    // Check to see if the algo returned a valid end state
    if (finishState->getHeuristic() == 0)
        finished = true;
    else
    {
        // Try to clean up memory to prevent memory leak
        delete initState;    // This is where Visual Studio throws breakpoint
        delete finishState;
    }
}   

As you can see, this while loop constantly creates new StateNode objects by assigning them to initState. Also, the HillClimbing::Run() method returns a dynamically created StateNode and assigns it to finishState.

Without this code:

else
    {
        // Try to clean up memory to prevent memory leak
        delete initState;    // This is where Visual Studio throws breakpoint
        delete finishState;
    }

My program leaks a lot of memory, approaching 2GB when the program crashes. With those lines VS throws breakpoints, but MinGw gcc does not, and the program works a lot faster.

My main question: How can I correctly manage the memory of initState and finishState to fix memory leaks.

i.e. How can I only keep in memory one StateNode object, while deleting all other instances as I go.

EDIT This is what is in the VS output window

The thread 0x4244 has exited with code 1857355776 (0x6eb50000).
HEAP[N-Queens.exe]: Invalid address specified to RtlValidateHeap( 01230000,     0126B540 )
N-Queens.exe has triggered a breakpoint.

When going into the dissasembly and pressing F11 to keep going through the code, eventually this happens:

EDIT 2

StateNode.h

class StateNode
{
    private:
        char** state;
        int heuristic;
        int size;

    public:
        StateNode(char** state, int size);
        int getHeuristic();
        void printState();
        char** getState();
};

Here is the code for StateNode.cpp

#include <iostream>
#include "state-node.h"
#include "heuristic.h"

/* Constructor, accepts a state and a size (the number of queens) */
StateNode::StateNode(char ** state, int size)
{
    this->state = state;
    this->size = size;
    this ->heuristic = NQueens::CalcHeuristic(state, size);
}



/* Returns the heuristic value of the node */
int StateNode::getHeuristic()
{
    return this->heuristic;
}

/* Prints the state with a nice like board for better visualization */
void StateNode::printState()
{
    for (int i = 0; i < this->size; i++)
        std::cout << " ____";
    std::cout << std::endl;

    for (int i = 0; i < this->size; i++)
    {
        for (int j = 0; j < this->size; j++)
        {
            if (j < this->size - 1)
            {

                std::cout << "| " << state[i][j] << "  ";

            }
            else
            {

                std::cout << "| " << state[i][j] << "  |";

            }

        }
        std::cout << std::endl;
        for (int k = 0; k < this->size; k++)
            std::cout << "|____";
        std::cout << "|\n";
    }
}

/* Returns a copy of the nodes state */
char ** StateNode::getState()
{
    return state;
}