Most likely you've not provided the private key string correctly (TLS libraries are rather picky about that), or the private key is not in correct format.
E.g. this is how you generate a 2048 bit RSA keypair in PKCS8 format (which is what the sample code appears to use):
$ ssh-keygen -t rsa -b 2048 -m PKCS8 -f testkey
This is how you add the resulting private key as a multiline raw string literal in C++:
const char PRIVATE_KEY[] = R"(-----BEGIN PRIVATE KEY-----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-----END PRIVATE KEY-----
)";