If you are not traveling with a group, you are traveling freely, no problem. Domestic tourists can fly from Shenzhen to Hong Kong (with valid Hong Kong and Macao passes and endorsements) to Kunming; On the return flight from Kunming to Hong Kong, mainland residents need to pay attention to the type of endorsement (if they sign L, they need to go through customs clearance procedures and consult the official customer service of the airline they take), so there is no problem in flying directly from Kunming to Shenzhen.