Zhuhai visa - stay in Zhongshan

No. You can only stay in Zhuhai.

Unfortunately, this is not possible. Zhuhai 3 days visa on arrival is strictly territory limited to Zhuhai city limits and it is not allowed to cross the administrative borders. Also, there is no train from Macau to mainland China. People usually take a train when they enter Zhuhai from Macau through Gongbei border crossing because Zhuhai train station is very close to that border crossing.

By the way, we had a recent experience of your compatriot who has denied visa on arrival at the border crossing between Hong Kong and Shenzhen. He did not disclose the reason why did something like this happened, so he decided to apply for a regular visa via an agency in Hong Kong. I do not say that you will not be granted a Zhuhai visa on arrival, but I am encouraging you to maybe opt for a regular visa that will offer your more flexibility and a peace of mind.