I arrive at Hk airport from Spain on Monday at 22 o'clock and I have to go to Zhuhai.

Ferry for Zhuhai leaves from Skypier near HKIA, so you don't need to leave airport. After landing, don't go through the immigration. Just follow the signs to ticket office of the ferry and show your luggage tag receipt. Then they will help you with the luggage transfer to ferry. You just need to take the APM to Skypier.