Do I need to clear Shenzhen immigration if I wish to go directly to Hong Kong but landed in SZX?

I plan to go to HKfrom Kuala Lumpur (KL), but the flight from KL to SZX is much cheaper than to HKG. I actually need visa to enter SZ, but do not need visa to enter HKG. I am wondering is there any way so that I do not need to clear SZ Immigration, but directly transfer to HK and clear only HK immigration. Thank you.