I'm afraid that you couldn't get a Hong Kong visa in Shanghai since there is no office set here. For instead, please submit your application to the office in Hong Kong or Beijing. The details and address could be found on this page: https://www.travelchinaguide.com/embassy/visa/hongkong-requirements.htm

On the other hand, if you will take a flight from Hong Kong to a third country, namely make transit in Hong Kong, you are exempted from visa for 7 days.