Companies in Shanghai pay social security in Shenzhen.

Everyone's social security can only have one account number, and it is impossible to pay in two places at the same time. Your situation is the same as mine. I transferred to Beijing headquarters for one year, and the social security was paid by Shenzhen branch. Company personnel will handle this matter.

Further reading: How to buy insurance, which is good, and teach you how to avoid these "pits" of insurance.