Single-entry visa

You do not have to bother yourself because you are fine with your single entry visa.

When you land in Shenzhen, that will be your first landing within mainland China, you will cross the immigration and your onward flight for Beijing will be a domestic one. This is perfectly fine and there is no place to be worried at all. Upon your landing in Beijing, you will just collect your luggage and proceed to the exit from the airport as a usual domestic passenger.

Also, single entry visa allows you to travel all around China as you wish and until the end of your single entry visa validity date, but you should be very careful not to exit mainland China toward Hong Kong or Macau because if you do that, your single entry visa will cease to be valid.