I lived in Shenzhen for a while in Shekou district. In Futian bar street there are options- McCawley's is an Irish pub, edible options- sit outside if you can, and they have a Mexican restaurant next door. In Shekou- near SeaWorld there is an Italian place Trattoria Italiana da Angelo, if it's still there - and think they also have a Futian location. Mama's n Shekou has Greek/meditarrean style food, and decent pizza. The buffet at the JW Marriott in Futian has some western selections as well, and a good Japanese teppanyaki restaurant. There are addresses for most places on shenzhenparty.com - sounds sketchy I know, but stick to the restaurants tab and it's fine.