Zhuhai Visa on Arrival denied

We(a family of 3) arrived at the Zhuhai Gongbei border from Macau on the 3rd May Friday afternoon and went straight to the Visa on arrival office on the second floor. There was only a lone female staff fidgeting with her phone and I politely asked for an application form.She asked how many days of stay in Zhuhai and I replied only 2 nights. After that she just said cannot apply here, you must go back to Macau to apply the visa first. I was shocked to hear that because I have before applied for the visa with no problems whatsoever and when queried further for the reasons, she gave no reason with a rude stare.
It was about 3pm and on a Friday and had no choice but to go back Macau. Personally I have never met any Chinese govt. staff that provide service with a smile. We're all holding Thai passports.

Is there any way to lodge a complaint through proper channel?