How can we argue that the Emancipation Proclamation did not free a single slave?
We can make this statement because the Emancipation Proclamation only "freed" slaves who were not in any place where the Proclamation could be enforced.
The Emancipation Proclamation freed only those slaves who lived in places that were (as of January 1, 1863)
in rebellion against the United States.
Practically speaking, this meant that the Proclamation was freeing those slaves who lived in areas controlled by the Confederacy. Since people in such areas obviously did not obey Northern law, they would not have freed their slaves when the Proclamation took effect.
The Emancipation Proclamation, then, did not free a single slave because it only applied to slaves living in places where the US government had no ability to enforce the law.