Bus company doesn't care about travel documents or visa. But is visa-on-arrival available at Shenzhen Bay? I am not sure. I thought it's Lo Wu only.

But just for the record, the B3 family of buses go from Tuen Mun to Shenzhen Bay. From Gold Coast, you can catch the B3/B3X from Tuen Mun Town Centre, and it runs at least every 15 minutes, almost direct.

If you need to connect to rail for Lo Wu, you don't need to go to the city. Bus 261 goes from Sam Shing (just a few bus stops from Gold Coast) to Sheung Shui. Change to rail there. Depending on time of day, it runs every 15-25 minutes. After the various stops in Tuen Mun, it goes on the highway straight to Sheung Shui East Rail station.

For Lok Ma Chau (the train station, not Huanggang), besides the above method on 261 via Sheung Shui, you can also first get to Yuen Long (via West Rail or Light Rail), and then connect to the B1 bus.

For Huanggang, there are direct private coaches from various points in the city. Should have at least one or two from Tuen Mun.