In at least one province that I am personally aware of, Hainan Province, government officials see no legal contradiction or prohibition in converting a tourist visa into a Z-visa. In fact, I was told this directly by the director of the Haikou municipal PSB. In the vast majority of provinces, however—barring a few select private schools with enough clout to pull the right strings—the only way you will be able to obtain employment is if you return back to your native country and reenter China with a Z-visa in hand, as is the case in Guangdong, as well as many other provinces. As a possible alternative to having to return home, a few teachers have reported successful “Z-visa runs” to Hong Kong effective summer 2009 (see article Teacher Reports Successful Visa Run to Hong Kong).

The above is taken from: http://middlekingdomlife.com/guide/china-english-teacher-visas.htm

According to Silverboy, Guangxi province 'converts' tourist visas to Z visas. He posted so a couple of years ago, but I don't know if this still applies. What I do know is that an African friend of mine wasn't allowed to enter HK on his visa run. But he got what he wanted from Macao!

For some foreigners who have entered China on tourist visas, a visa run to Mongolia or Macao is a preferable option - HK is deemed a boring city by some foreign folks. That's why I have gone to ULANBATOR to do one in the past instead of HK. It's cheaper than an HK run though more time-consuming if you travel by train to UB. But don't venture outdoors late at night in UB - you don't want to get mugged!