According to this website below you can get a visa on arrival (VOA) at the Shenzhen airport:
There are some requirements according the airline visa database:
Passengers with a normal passport arriving at Chongqing (CKG), Guangzhou (CAN), Guilin (KWL), Haikou (HAK), Kunming (KMG), Qingdao (TAO), Sanya (SYX), Shenzhen (SZX), Weihai (WEH), Xi An (XIY) and Yantai (YNT) can obtain a visa on arrival if they have confirmation that a visa has been approved before departure and:
- that a visa will be issued on arrival; and
- passport contains at least 1 blank visa page for the sticker-type visa; and
- a sponsor (approved by Chinese authorities) meets passenger on arrival.
That means, you need pre-approval from the airline. It is not clear if that is the same visa as the 5-Day-Shenzhen-Visa.
If somebody knows more, please let me know.