Where exactly is Gongbei Train Station in Zhuhai? Is it in the Underground Gongbei shopping Mall?

No, it is not in the underground shopping mall, but nearby. It is very close to the Gongbei border and the signages to the train station are very clear!

After you get out of the Gongbei Border, you can turn to the west side to find the train station, around 500 meters away.