How to get exit visa for baby

Hi, I am European citizen and my wife is Chinese and we got a son in China last year. He has a passport from my European country and now we want to go there. We went to local PSB to get exit visa but they refused to give us that as they consider him Chinese and said he can not leave China. We live in small city and they most likely dont know what this is about, can we do this in Beijing or other city where they deal with this kind of issues more often? Do we need a lawyer to solve it? Please advise!