Hong Kong-Beijing-Xi’An-HongKong

When traveling on 240 hour visa free transit you can leave Hong Kong toward mainland China only by air or by taking a ferry to Shekou or Nansha ports. Also, if you have exited from Hong Kong, you cannot return to Hong Kong, but to a third country/territory and in your case the most practical would be Macau. However, here we come to the fact that there is no flight from Xi'an to Macau. If I may suggest you, I would advise you to take a flight from Macau to Beijing (you will easily reach Macau from Hong Kong before that), from Beijing to Xi'an by train and from Xi'an to Hong Kong by air. In my opinion, that would be by far the easiest way how to see the destinations you have planned and to remain within the rules of 240 hour visa free transit. After your return to Hong Kong you can travel to Shenzhen for a couple of days and here I suggest you because of the simplicity that you rely on 5 days Shenzhen visa on arrival. You are advised to use Lo Wu / Luohu border crossing and to arrive there at least at 08:30 because Luohu visa office opens at 09:00. It is better to arrive there in the morning in order to avoid major queues. You will bring your valid passport and you will fill out the relevant form at the border crossing. You will take a photo in the same place and pay affordable fee of 130 CNY by card. All major cards are accepted. After the visa is issued, you can proceed into Shenzhen, but keep in mind that this visa limits you to Shenzhen city limits. After you are over with your visit to Shenzhen, you can return back to Hong Kong by taking any border crossing you want and also any mean of transport, high speed train from Shenzhen to Hong Kong West Kowloon station included. Have a nice journey.