Can I get a visa at the border of Hong Kong - Shenzhen for my visit by train to Dongguan?

You are able to apply fo a VOA at the border of HK-Shenzhen, but the VOA is only valid within Shenzhen.
If you want to take a train from Shenzhen to Dongguan, you need to have a single entry Tourist L instead of a VOA. It needs to be applied in advance in your home country or you can apply one in HK through a local tour agency.