If you're not flying in and flying out, TWOV does not apply. Absolute and definite. Land and sea borders are not included. Even if you manage to do the book-and-cancel onward tickets strategy, then get the transit stamp in your passport on arrival at Shenzhen, you'll be caught out when you try to exit China at Shekou, LoWu, or wherever. You cannot get around passing a Chinese Exit Immigration desk. I would not want to hazard a guess as to what would happen at that point, but I strongly doubt they would give you a free pass through. Likely they'd send you back to the airport to fly out within 24 hours, or take the hardline and smack you with a big fine.

Do not do this. Either get a visa if you want to fly to Shenzhen and use a surface crossing to HK, or fly directly to HK and skip Shenzhen entirely.

I also do not believe that flying LAX-(XXX)-SZX is cheaper than LAX-HKG. Try harder on the latter, using different sources.