Visa to Shenzhen from Hong Kong for my kids (Malaysian) - not been to Mainland, China

Hi, I am Malaysian. I have two kids age 17 and 12 who never been to China, but they been to other Asian countries (Japan, Thailand, Australia, Singapore). Will they able to get 5 days Shenzhen VOA from Hong Kong? or we need to apply the China visa in our country, Malaysia before to Hong Kong?