Quit Preview.
Navigate to ~/Library/Saved Application State/com.apple.Preview.savedState/
Quick way to get there…
- From Finder...
Cmd ⌘ N for new window
Cmd ⌘ Shift ⇧ G for Go To…
Copy/paste
~/Library/Saved Application State/com.apple.Preview.savedState/
- Hit Enter
Delete the entire contents of the com.apple.Preview.savedState folder.
Late Edit: I've noticed the Preview saved state folder is now an alias in more recent OSes; in which case when deleting the contents, don't also delete the alias. The original is in ~/Library/Containers/com.apple.Preview/Data/Library/Saved Application State/com.apple.Preview.savedState