How to get hong kong visa from shenyang

Dim, you can possibly apply for it from Beijing Office of HK SAR government or from HK immigration department.
If you go to HK for sightseeing purpose, you need to prepare the required documents including copy of your passport, the application form, a passport-style photo, proof of your financial support, proof of transportation arrangement and hotel reservation, and your travel itinerary as well as your valid entry permit to PRC. And then submit your application to Beijing Office of HK SAR government to apply for it, or post your application to HK immigration department to apply for it.
The postal address is:
Receipt and Despatch Sub-unit
H K Immigration Department
2/F, Immigration Tower
7 Gloucester Road
Wan Chai, HK