No, Shenzhen is just one city. The metro area is the Pearl River Delta Metropolitan Region. That includes Hong Kong, Guangzhou, Shenzhen, Zhuhai, Huizhou, Foshan, Zhongshan, and Dongguan. The metro area is about 75km across. 86 million people.[1]
You can randomly circle area. But that is integrated, even cat ones gov is not totally on charge of Shenzhen, let alone the hk even after suppressing freedom there. This is different kind of cats herding cf inside major china area.
Compare New York Metropolitan Area.[1] Involves several states. Not a governmental unit.
Metropolitan areas are usually computed by working outward until the density drops. Look at the Pearl River area in satellite imagery. It's a roughly circular high density region, and then farmland appears.
[1] https://en.wikipedia.org/wiki/Pearl_River_Delta