What documents and passports do I need to apply for from Shenzhen to Hong Kong?

You must apply for a Hong Kong and Macao Pass. Although you can go to Hong Kong with your passport, you need to sign an endorsement from a certain country (usually Southeast Asia) to fly to Hong Kong by international air ticket (the cost is at least 200 yuan). Then you can stay in Hong Kong for 7 days with your flight certificate and endorsement, and you must leave the country after 7 days. Since you just borrow a ticket, the airline won't really have you as a passenger to fly (the general travel agency will cancel your ticket reservation within 24 hours after you book the ticket, so as not to disturb other people's normal flight), so the Hong Kong Customs won't have a record of your departure by plane, and the natural customs will know that you are passing through Hong Kong by ticket, and then record your behavior once. It doesn't matter once or twice. Too many times will be blacklisted, refused entry or even permanent. Therefore, in the past, it was best to have Hong Kong and Macao passes and Hong Kong tourists' endorsements.

If you can't apply for the Hong Kong and Macao Pass directly at your current place of residence, you can ask the Public Security Bureau if you can go to the provincial office, or you can go to the website of Henan Provincial Public Security Bureau to inquire about relevant policies. According to what you said, it should belong to an area that has not been opened for individual tours to Hong Kong, and you may need to join a group tour. You can also ask the larger local regular travel agencies if there are any group tours in Hong Kong.