While it is technically possible to get off the train at Lo Wu or Lok Ma Chau and take a return one, it is actually against HK laws to do so without the intent of traveling to China. The area bordering China are restricted area, not for sightseeing without actually crossing the border. And this is without leaving HK immigration. It's an even bigger issue to turnaround after leaving HK.

There is really nothing interesting to look at. And if you just want to see China, one can see all the Shenzhen skyscrapers at various location in the New Territories. I can see plenty just driving out of the Tai Lam Tunnel, still miles away from the border.

The closer place to China is on the Macau side.