No, going back to HK would not be sensible.

The problem with the train from Zhuhai is that Guangdong South is really far south of the city, and a long metro ride into the city itself.

You might want to take a bus at the border into Guangzhou instead. It's a longer ride, but you'll actually arrive in Guangzhou.

And yes, crossing the main border at Zhuhai can involve long lines. I don't recall ever crossing there when there weren't long lines.