About Shenzhen Visa on Arrival

Is it possible to fly into Shenzhen on an international flight and use VOA to exit Shenzhen airport and travel immediately through to HK? If I have to pay for a China visa then this becomes cumbersome and more expensive but if I can use VOA and immediately exit Shenzhen and travel to HK then that would be great as flights to Shenzhen are good value at present.