I wanted to go Xiamen either from Shenzhen or Guangzhou and back to Macau travel by cheapest airline

Hi, there are ferries operating to Macau from Shenzhen Shekou airport which takes around 1hr. Thus, it is better for you take flight to Shenzhen first and then take ferry back to Macau. If take flight to Guangzhou first, you need to take one bus or train to Zhuhai, and the pass the Gongbei Port to reach Macau.