Is there any way this can be done (USA passport holder), like by entering from HK but exiting to Macao? Or would you have to fly from inside the permitted area to some third country to exit?

Would sure enjoy being able to add a visit to Shenzhen on my next HK trip! But if a 5 day visa costs RMB956 (as one article said) for USA passport holders, I might as well get a regular 10 year China visa as it is almost the same price.