Hi. I will fly to Hong Kong and then apply for 5 day VOA for Shenzhen (at Luohu port).

I will stay in Shenzhen for 1 day and then need to fly to another asian country. Can I do that directly from Shenzhen airport? Or is is not possible to fly from Shenzhen airport when I did not arrive to Shenzhen airport?
I know that is the rule for some 72 hour visa cities in China.

Thanks in advance.