US > Hong Kong > Shenzhen > US

Unfortunately not and the reason is simple, there is no way to fly from Hong Kong to Shenzhen since there are no flights between two cities and all other options are not eligible.

However, instead to Shenzhen, you can fly from Hong Kong to Guangzhou because these two cities are connected by a nonstop flight. So, your possible itinerary:

US - Hong Kong - Guangzhou - Shenzhen - US

Is definitely eligible for 144 hour visa free transit in entire Guangdong province where both Shenzhen and Guangzhou are located. Also, you are allowed to use several different airports within one transit area, in this case - Guangdong province.

Borut, thank you for your reply. I understand, and it would be simple for us to fly to Guangzhou and take a train to Shenzhen.