I think there are g trains between zhuhai and Guangzhou South. While Guangzhou South is about as inconvenient as it gets, Guangzhou East isn't close to CAN either, and going via Kowloon is not something I'd consider (extra border crossing, much slower train, and well over an hour needed just to get there).

If the G train option looks too annoying, I'd look into taxis/buses.

I'd also look into eating those tickets. I'm thinking if the refund penalty is y300 or less, flying mfm-pek or zhu-pek might be worth it.