Boarding domestic flight Shenzhen

Max, you are definitely allowed via China using two airport, in your case Shenzhen and Beijing, regardless of their sequence, but your entire transit time, counted from your first scheduled arrival in mainland China (in your case in Shenzhen) until your final scheduled departure from mainland China (in your case from Beijing) has to be shorter than 24 hours. If this is the case, you can proceed with your travel plans absolutely visa free.

Upon your landing in Shenzhen, the first thing you will do is to approach 24/144 transit counter where you will apply for a temporary entry permit by presenting your flight tickets. After a short check, your permit will be granted and you will proceed toward immigration because your next flight will be a domestic one. When you land in Beijing, you will just cross immigration and head to your flight to Stockholm. There are no obstacles in this regard.

Shenzhen normally supports 24 hour visa free transit and you are allowed to do exactly as your plan is presented. Beijing supports 24 hour visa free transit as well. You are good to go.