There has no direct rail connection, you may go from Zhuhai to Guangzhou South first and then transfer to GZ East station for a ride to HK. The tickets may around USD45. For the GZ-HK trip, it would be better if you book in advance since it may sold out sometimes on the day of travel. You may book it online from some websites like this one.

Much easier and shorter to take the ferry across from Zhuhai to Hong Kong. Plus you end up in downtown HK. Any problems get back to me and I can elaborate in greater detail.....tim