I realize the following simplified claim should suffice for my purpose.
If the intersection of a family of compact sets in $\Bbb R^n$ are empty, then there exist finite many sets in the family with empty intersection.
Previously asked:
Let $S$ be a family of closed sets contained in a compact set $K$ in $\Bbb R^n$, $\bigcap S = \emptyset$ (the intersection of all sets in $S$ is empty), then there exists finite many $s_1,...,s_k\in S,k>0$ such that $\bigcap_{i=1}^k s_i = \emptyset$.
After some investigation, I think this might be related to Standard compactness argument, but I have trouble using the result that "disjoint compact sets have disjoint open neighborhoods" to above desired claim.