Hello, Donna. The shrub per se is most likely fine since the roots should not have been affected by the freeze; it just looks ugly, pitiful or both. Let it put out new growth as soon as it can and then evaluate what to prune and how. Normally, it is hard to reliably determine which leaves, which flower buds and which stems will make it and which will not. It is best to wait a month and then evaluate how these parts are doing then.
With stems, sometimes parts are affected but other times the whole stem can dry out. Luckily, these are woodsy plants so the stems tend to be quite tough. So, it is best to do no stem pruning for a while. And observe if all parts, some parts or no parts leaf out. Usually, that alone will tell you how you will need to prune. Personally, I wait a year to prune stems.
When this problem happened to me, I waited about a month + or - before seeing new growth. By then, the leaves that did not make it turned brown; I then crushed them with my hand and left the stem as is. If you "have to have to" cut and cannot wait to remove the affected leaves, try cutting the petiole. That is the little "stem" that connects the leaf to the stem. The leaves looking blackish tend to be the ones that will not make it.
After waiting at least a month for my hydrangeas to recover, I noticed the injuries were small and new growth was coming out. Well, I left all of my affected leaves and stems "as is" because the new foliage covered most of damage and because I can be lazy. Then surprise! Some of the affected stems actually leafed out the next Spring. I had painted some marks to help me identify where to prune and I was seeing growth above those pruning marks. If you cannot stand the look of dried out stems, try this: prune in 1" increments from the top to the bottom; and stop when to get to green or when you hit the bottom.
In the meantime, maintain the shrub well mulched (3-4" of mulch) at all times. Maintain the soil evenly watered as well. The soil should not be wet; and it should not suffer from periods of extreme dryness followed by periods of wetness. Because the shrub is stressed, do not fertilize it now.
Since you are in the northern half of the country, you can simply feed them once, in June (assuming it has recovered by then). That should do it for the whole year.
For a newly planted hydrangea, you can use 1/2 to 1 cup of compost, composted manure, cottonseed meal or you can use a general-purpose slow-acting chemical fertilizer. Or if your soil has no mineral deficiences, you can skip feeding it all this year. Hydrangeas are not heavy feeders like most roses are and, nothing will happen if you just forget to fertilize on some years. I have had some shrubs that have gone w/out fertilizers for a year and it has not impacted flower production.
Once the plant has recovered, you can also add "weak" fertilizers like liquid seaweed, liquid fish or coffee grounds. But stop applying all fertilizers by the end of June so all that nitrogen will not keep the plant awake.
Flower buds are located near the end of the stems for many hydrangeas and they are not visible so it is hard to tell if the cold damaged them. My shrubs are starting the broccoli stage now. Yours should start that in May. If you get no broccoli stage by the end of May then the freeze damaged them as well. However, if this happens to be a rebloomer hydrangea, you will still get another shot at flowers, just later on in the year... say June-ish or July?
Keep your hopes up. When my hydrangeas were kept awake by a warm Fall and early Winter, the flower buds got zapped when we got hit by 5-6 days of sub-freezing temperatures.
In April, it was bad. But at least I got two blooms by two mopheads. At least I got something!