You don't need a VPN to bypass GFW while you are in China with following roaming SIMs.

China Unocom HK Mainland & Hong Kong 8 Days Data SIM

https://www.cuniq.com/jp/data-card/greater-china/china-hk-8days.html

AIS SIM2Fly

http://www.ais.co.th/roaming/sim2fly/en/

But one more important question -where will you arrive FIRST?

There are plenty of choices at the convenience stores. You might consider "China Mobile" and "Three"

I will arrive Beijing/Shanghai first for 14 days, then HK 2 days and Macau 1 day.

Then there is no option. You get your Chinese SIM first and buy another in HK.

Tough luck getting that card in Beijing or Shanghai: you'll also have to register when buying a prepaid SIM (no anonymity there).

If you'd arrive in HK first you could easily pick up a card like that - and as it's a foreign card, you won't need VPN.

Besides, of course no mobile phone carrier offers VPN. You'll have to make arrangements for that beforehand, and hope your VPN host isn't blocked as well.

Thanks.

Get one of roaming SIM cards I mentioned before you travel to China. They are available at amazon.com.

Thank you all.