How did you go about applying for the Hong Kong passport? Did you register your birth with the US Consulate here?
I believe HK pasport is treated as a "travel document" instead as proof of citizenship. Chinese nationals born in HK can have dual citizenship (or multiple!) but those born in China can only have single unless they renounce their Chinese citizenship. My daughter has HK, UK & Oz passport and we use her HK passport only to enter/exit HK.
To apply for HK passport, you need
1. Application for HKID
http://www.immd.gov.hk/pdforms/ROP3.pdf
2. Application for HKSAR passport
http://www.immd.gov.hk/pdforms/ID842n.pdf
3. Witness
http://www.immd.gov.hk/pdforms/ID641n.pdf
The forms can be submitted together. However, either make an appointment for submission or arrive really early as the daily quota for submission goes really quickly. You have to bring the child once to the Immigration for them to check the photo to the child.
Best way is like Lesliefu says, to apply HK passport first then the US passport. I just apply all on the same day!