The American rookie fired an eight-under par 63 to take a three-stroke lead before the heavens opened at Grey Silo Golf Course and thunderstorms forced play to be cancelled.
Seventy-two players were unable to finish their rounds, which will now be completed on Friday morning.
Earlier in the day, temperatures hit 38 degrees with intense humidity but that did not deter Changkija who mastered both the conditions and the 6,354-yard course.
"I was comfortable with the two-under. (I putted once) the last three birdies," Changkija said. "They were kind of long ones. I had the right line, I just had to get it close and it just went in."
China's Shanshan Feng and Sweden's Anna Nordqvist shot five-under 66s but were only able to complete 13 holes.
Lacey Agnew, Angela Stanford, Suzann Pettersen and Karin Sjodin did however, manage to finish their rounds and all four were tied for fourth at four-under par 67.
Katie Futcher, Pat Hurst and Kim Mindy, along with England's Jodi Ewart were a shot back at three-under par 68.