Chat Session records are stored in LiveAgentSession entity.

Following Sample code can be used to delete the Chat Session records permanently(hard delete).

Sample Code:

List < LiveAgentSession > listLiveAgentSessions = [ SELECT Id FROM LiveAgentSession ];
if ( listLiveAgentSessions.size() > 0 ) {
  delete listLiveAgentSessions;
  Database.emptyRecycleBin( listLiveAgentSessions );
} 

SOQL:

SELECT Id, AgentId, LoginTime, LogoutTime
FROM LiveAgentSession

The above SOQL can be used to Query Chat Session(LiveAgentSession) records.