This seems to be a problem of Aus/NZ airlines. I had this problem already in 1997 when flying Bangkok-Christchurch-Bangkok. They wanted me to have a Thai Visa before letting me board the plane in BKK. But a European can only get that outside of Thailand of course. Solution: Get a full fare, fully refundable one way ticket NZ to Australia and an Aussi Visa, which could be arranged online at BKK Airport. That actually worked back in 1997!
When flying from Germany to BsAs on a one-way ticket there was no problem at all. Neither on my current trip, when I arrived in BsAs from Hamburg by ship. The Argentinians don't care at all. Good luck convincing Air NZ or Quantas about that... Indeed, booking the cheapest onward ticket (Bus or Ferry to Uruguay) is probably the easiest solution.
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