Connecting two adjacent visa free areas

No, this is not allowed. Every single transit or visa free area has to be entered and exited by taking flights from/to 3rd countries or eligible territories. Also, you cannot take a train from Hong Kong to Guangzhou and enjoy any kind of visa free transit scheme. The only eligible way to enter Guangdong province is by air. You can leave it by taking a ferry and that ticket you have to buy in advance. Again, train is not eligible even to exit.

The places you are mentioning could be reached by taking a following itinerary:

Hong Kong (by air) - Guangzhou (by ferry) - Macau

When you have reached Macau, you can easily return to Hong Kong and then:

Hong Kong (by air) - Hainan (by air) - Hong Kong or some 3rd country or eligible territory, but that flight is not allowed to have landing within mainland China of any kind.