Your trip is very easy to arrange, whether you'll start to Hong Kong or Guangzhou are all preferable, just make Hong Kong--Shenzhen--Guangzhou in order, these three cities is in a line and if you back to Macau from Guangzhou is like a circle. So you can go like this: Macau--Hong Kong--Shenzhen--Guangzhou--Zhuhai--Macau.
Note: there is no direct bus from Guangzhou to Macau, you'd need to take bus to Zhuhai Gongbei Border first and then pass the customs and take bus to Macau International Airport.