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The states that remained loyal during the Civil War were called the Union states, because they believed that we needed to preserve the union. The others were the Confederate states.
The Union (Northern states)
Delaware, Maryland, Missouri, and Kentucky.
The Emancipation Proclamation only applied to the Confederate states, but not all of the salve states had joined the confederacy. There were several slave states still in the Union, and they continued as slave states after the proclamation.
He refused to take an oath to the Confederate States of Ameriica and remained loyal to the Union.