I've read that you can get an 'on the spot visa' only for Zhuhai area:
"If you are only visiting the Zhuhai area, three-day visas upon arrival are available at the border. Upon entering the Gongbei immigration building, after passing all the duty free shops, the visa office is behind a green door on the right hand side of the hall. Follow the stairs and you will find the office on the left. You need to complete a small white form, pay the fee and have your photograph taken with a webcam. The visa is then processed within minutes. This costs ¥160 for most nationalities, but Americans cannot use the service and Brits have to fork out ¥450 (December 2008). Hong Kong dollars are not accepted. Currency can be converted at the China Tourist Services office back downstairs in the main immigration hall, but usually at an awful rate. Once the visa has been issued, proceed to the immigration hall to complete the immigration process."
Source:
Zhuhai travel guide - Wikitravel
Keep in mind things in China Change all the time and you can't be sure if its current. Best bet is to avoid this and get a visa in KL before going- can then go anywhere in china and no surprises at the border.