What is the quickest and cheapest way to get from the Macau airport to the Shenzhen Train station?

From Macau Airport, you can easily find the direct buses to reach Gongbei Port.
From Gongbei Train Station near the port, you can easily find local bus line 2 to take you to reach the Zhuhai Xiangzhou Long-distance Bus Station where you can easily find the buses to reach Qiaoshe Bus Station in SZ.
Take that bus to reach Qiaoshe Bus Station and the SZ Railway Station is near this bus station.
This is the cheapest one.
If you want the fastest one, you can fly to SZ and then take the airport shuttle bus to reach the railway station directly.