Getting HeapDump on out of memory error when executing method through JNI

I have a C++ code that executes a method inside the jvm through the JNI.
I have a memory leak in my java code that results an out of memory error, this exception is caught in my C++ code and as a result the heap dump is not created on the disk.
I am running the jvm with
-XX:+HeapDumpOnOutOfMemoryError
-XX:HeapDumpPath=C:\x.hprof
Any suggestions?
Thanks

I'll rephrase it then.
I have a java class named PbsExecuter and one static method in it ExecuteCommand.
I am calling this method through JNI (using CallStaticObjectMethod). sometimes this method causes the jvm to throw OutOfMemoryError and I would like to get a heap dump on the disk when this happens in order to locate my memory leak.
I've started the jvm with JNI_CreateJavaVM and I've put two options inside the JavaVMInitArgs that is used to create the Jvm. -XX:+HeapDumpOnOutOfMemoryError and -XX:HeapDumpPath=C:\x.hprof
which supposed to create a heap dump on the disk when OutOfMemoryError occurs.
Normally if I would execute normal java code, when this exception would occur and I wouldn't catch it the Jvm would crash and the heap dump would be created on the disk.
Since I need to handle errors in my C++ code I am use ExceptionOccured() and extracts the exception message from the exception it self and write it.
For some reason when I execute this method through JNI it doesn't create the dump.

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