VOA to Shenzen from Hongkong for Egyptian passports

We are Egyptian passport holders ,with residence in both Qatar and Canada.
We want to travel to Shenzen to meet my son's school friends.
My question is : can we get VOA to Shenzen after entering Hongkong ( as Egyptian passport holders don't need visa to enter Hongkong).
If the answer is yes to my question, which port can get this Shenzen VOA?Also ,can we use the bullet train to enter Shenzen from Hongkong?