HK resident, flying to Bangkok through Shenzhen (VOA)

Hello - I am planning to fly to Bangkok through Shenzhen. I live in HK, is it possible to get the VOA at the HK-Shenzhen border to go to the airport and then on my way back to get the VOA at the Shenzhen Airport and then get back to HK ?

My only fear is that I won't be allowed on the Bangkok - Shenzhen flight because I do not have a Chinese entry permit.

I am French and Swiss.