US to HK to China to HK or Macau to HK to Japan??

Stiz, it is obvious that the solution number 1 will not work because you need immediate points before and after your mainland China visit in two different countries or eligible territories (eligible territories are Hong Kong, Taiwan and Macau). Solution number 2 is the way to go. So, you should take a ferry from Hong Kong to Shekou or Nansha. These are the only two ports that can be reached by ferry under 240 hour visa free transit scheme. Even before your departure toward Shekou or Nansha, you will have to have in hands a ferry ticket from Shekou to Macau and please, print it out or buy it while in Hong Kong to be at hand because you will be asked for one by Hong Kong and by mainland Chinese immigration authorities. Shekou to Macau line is rune by TurboJet ferries. Also, you will really have to take exactly that ferry from Shekou that you have bought in advance. Your stay in mainland China has to exceed 24 hours in order to be eligible for 240 hour visa free transit scheme. Have a nice visit.

Sorry, maybe the forum format confused you.
I meant to ask, would I have to go from HK to Macau to take Ferry to Shekou to enter Canton?
then when I'm ready to leave Canton, I can take bullet train from Guangzhou directly to HK? This would qualify for the visa free entry? with the proof that I'm leaving Canton to HK. I'll need paper doc? can't just show my ticket on the phone?

Stiz, I apologize. Yes, in order to perform your journey where you would like to return from Guangzhou to Hong Kong by a direct train, you will have to go first from Hong Kong to Macau in order to take a ferry to Shekou. Simply speaking, you need 3 countries or eligible territories within your itinerary to make it eligible. Having an itinerary Macau - mainland China - Hong Kong is definitely fine. Even before your departure from Macau, you will have to have your train ticket from Guangzhou to Hong Kong West Kowloon station already bought. It is possible that Hong Macau and mainland China immigration authorities will accept your train booking confirmation presented on your phone, but in general, it is highly advisable to have that ticket (confirmation) printed out. So, if you do exactly as you have written, you will be definitely eligible for 240 hour visa free transit. There is no doubt about that. Please, have in mind that you will really have to take exactly that train you have bought your ticket for. I hope we have cleared most of the doubts :).

Thank you very much for the responses