I'm skeptical about miracles. Is there an account where Sai Baba directly proved his power to a doubter?

Yes, Chapter 35 provides a powerful account concerning a man named Boss Dharamsee who approached Shirdi with a skeptical mindset. He was offered grapes with seeds by Baba, which he disliked. His internal monologue reveals his doubt: "If he is a saint, how does he not know That I do not like these grapes?" As this thought arose, Baba gave him more grapes. When Dharamsee finally ate them under Baba's command, he was astonished to find they were completely seedless. His own thoughts afterward were, "What a strange power! What is impossible for these saints?" This experience completely transformed his perspective, causing his ego to vanish and fostering a deep love for Sai, showing how Baba could address doubt directly.