From Zhuhai, you could take a bus (2.5~3 hours) at the Gongbei border or a ferry (1 hour) from Zhuhai Jiuzhou Port to Shenzhen Shekou Port. Although the ferry takes less time, the ferry terminal is a little far from downtown area. Then, from Shenzhen Luohu Train Station, you could take a train to Guangzhou in 70 minutes.
The underground malls should be open, however, some stores there may be close. Anyway, wish you a nice time!