They need to be in a warm and airy location. I'd try again with fresh stock/scion keeping them outside of the tank in a warm spot for at least a week. Also, make sure both freshly cut surfaces (stock and scion) are perfectly flat. I can't quite tell from the photo, but it looks like there is a small gap preventing the two surfaces from adhering to eachother.

Here is an excellent tutorial on how to graft using Opuntia as the stock. Of course the are big differences between Peresk. and Oputina, but it will explain some basic techniques essential to all succesful grafts.

Just my 2¢

Very interesting! From where I can get Pereskiopsis sprouts or seeds?
Greetings Alex