Delta don't fly to Bangkok or Hong Kong so you will need to depart/arrive from Shanghai if you want to use Virgin miles for Delta.
Keeping it to 40k miles will require a non-stop, so from Shanghai that means flying to/from Atlanta, LAX, Seattle or Detroit.
However - you should check the cash prices for your intended travel dates - outside of the summer period there are lots of dates where those direct delta flights are on sale for under $350 USD each way EVEN buying a one-way ticket in economy, prices at which I would strongly urge you to consider not using miles.