Small fiber nerve damage may not show up on an EMG.
And if you don't have muscle damage your needle conduction test would be normal as well.

Lupus would need a special blood test.
Its called an ANA.

Its an auto-immune disease.

It does't need an MRI.
For that they may be checking out Multiple Sclerosis.
Which is in the Central Nervous System, and would not have peripheral neuropathies.

I would look up in the "important links" and look up small fiber neuropathies.
Have you been tested for diabetes and B-12 deficiency?