Upvote:1
Shekou-HKG-PEK is easy. You just need your passport. The ferry will take you to the secure area of HKG. You're not entering HK, and you can only board this ferry if you have a valid plane ticket.
PEK-HKG-Shekou is another story. You would have to convince the airline that you will not try and enter HK.
Then again, one might wonder why you'd go to so much trouble when you have direct flights SZX-PEK...