Hongkonger Dominique Li and his wife spent a two-day break earlier this month in Shenzhen to soak up the cultural vibe, a short getaway they said would not be their last. The 45-year-old engineer, who lives in Tin Shui Wai in the northwestern New Territories, was particularly drawn to a new landmark, Shenzhen Bay Culture Square in Nanshan district. He treated his visit to Shenzhen like a trip to Hong Kong’s Causeway Bay shopping district, which also takes about an hour. “The spaces here are...