Can I take a flight to Thailand from Shenzhen airport while holding a 5-days Shenzhen VOA???

Hello,

I am holding a Russian Federation passport, visiting Hong Kong right now, I am going to Shenzhen tomorrow with a 5-days Shenzhen VOA, no time to apply for a normal 30days visa.

And I am wondering if I can take a plane to Thailand afterwards from Shenzhen Airport?
Or does this VOA requires me to return to Hong Kong?

thank you,
Andrew