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It is my recollection that the US government owned slaves for a month or so at the beginning of the war. (Captured Contraband.)
Then they decided it was embarrassing, so they freed them.

See Laura F. Edwards, "A Legal History of the Civil War and Reconstruction; A Nation of Rights, Cambridge University Press, 2015, page 20.

It's [martial law] first controversial use came from John C. Fremont, who commanded federal troops to Missouri. After removing the state's secessionist governor, Fremont declared martial law in the entire state without obtaining Lincoln's permission. He then used those powers to abolish slavery and confiscate secessionists' property, also without Lincoln's permission.
It was not so much the declaration of martial law as what Fremont did with it that caused trouble. … He was a strong opponent of slavery, not just in the territories, but also in states where it already existed. No wonder that Lincoln did not take kindly to Fremont's efforts to supplant his authority and his political agenda, which promised to leave slavery alone so as to keep Border States in the Union. The showdown ended when Lincon removed Fremont from command.

See Lerone Bennett, Jr., "Forced Into Glory," Johnson Publishing Company, 2000, pp. 30-31:

Far from being "the great emancipator," he came clse to being the great contra-emancipator. When General John Charles Fremont freed Missouri slaves, Lincoln reenslaved them, pleading Kentucky and the need to assuage the fears and interests of slaveholders and supporters of slaveholders. When his friend, Major General David Hunter, freed slaves in Georgia, Florida and South Carolina, Lincoln reenslaved them (CW 5:222-3). When Major General Benjamin Franklin Butler moved too forcefully against slavery in Louisiana, he was sacked and put on Lincoln's white list of troublesome antislavery generals. When John W. Phelps, Donn Piatt and other Union officers threatened the interests of slaveowners, the were either sacked, denied promotion, or cashiered out of the service.

CW 5:222-3 provides Lincoln's May 19, 1862 Presidential Proclamation regarding the acts of General Hunter, excerpted below.

I, Abraham Lincoln, president of the United States, proclaim and declare, that the government of the United States, had no knowledge, information, or belief, of an intention on the part of General Hunter to issue such a proclamation; nor has it yet, any authentic information that the document is genuine. And further, that neither General Hunter, nor any other commander, or person, has been authorized by the Government of the United States, to make proclamations declaring the slaves of any State free; and that the supposed proclamation, now in question, whether genuine or false, is altogether void, so far as respects such declaration.
I further make known that whether it be competent for me, as Commander-in-Chief of the Army and Navy, to declare the Slaves of any state or states, free, and whether at any time, in any case, it shall have become a necessity indispensable to the maintainance of the government, to exercise such supposed power, are questions which, under my responsibility, I reserve to myself, and which I can not feel justified in leaving to the decision of commanders in the field. These are totally different questions from those of police regulations in armies and camps.