TWOV; 240 hour visa free transit questions?

My apologies for the re-ask, clarification. Old person brain here :/

We are thinking round trip tickets from US to HK with the following itinerary:

US > HK > ferry or train or taxi to Shenzhen > ferry to Macau > ferry to HK > US

Will this itinerary work and meet the third country/region transit? We want to make sure that Macau works. Anyone have experience with this?

Does it matter that we take a ferry out of Shenzhen to Macau? Or is another form of transit better for proof that we are exciting China to a different country/region? Will showing pre-purchased tickets be good enough?

So documents would include:

-round trip airfare from US to HK,

-ticket from HK to Shenzhen,

-prepaid ticket from Shenzhen to Macau.

Could also add prepaid ferry tickets from Macau to HK if needed.

Thank you in advance!