I think either Hong Kong / Macau / Shenzhen or
Hong Kong / Shenzhen / Macau is ok. The best transporttation between Hong Kong/Macau and Macau/Shenzhen should be ferry, while the best transport Between Hong Kong and Shenzhen shoule be Hong Kong MTR(https://www.travelchinaguide.com/cityguides/hongkong/transportation/subway.htm). it takes about 1 hours atmost 1 and a half hours to transfer between the cities, and the ferry ticket is around HKD200, while the MTR ticket is HKD33.

There is no direct bus from Shenzhen to Hong Kong airport. You have to take a bus from Shenzhen airport or Shenzhen Bay to Kowloon, and then transfer to Hong Kong airport express to Hong Kong airport. it costs about HKD200 for about 100 minutes.

You can take a ferry from New Macau Ferry Terminal to Haitian Ferry terminal of Hong Kong airport directly. it takes about 45 minutes, and the ticket price is HK$215 for an ordinary seat.