You can always email the Immigration Department to be sure, but I'm under the impression it's pretty common for Mainland Chinese to take flights overseas out of Hong Kong and to enter Hong Kong by land for these flights on the basis of the transit provision. They produce their air tickets with their passports at Lo Wu, etc.

There was a problem a few years ago, I recall, when some Mainland Chinese were using this as a route to spend a week in Hong Kong, carrying air tickets they ultimately didn't use, just returning by land to the Mainland when their week was up. With much freer visiting rights for Mainland Chinese these days, that's probably not so much a problem anymore.

As to flights, note that Spring Air to Hong Kong is sometimes cheaper than to Shenzhen.