Maybe he has connections in Hong Kong. What's so weird about that. Besides, Hong Kong is about as far away as you can physically get from the US.
He would have been much more convincing saying "yeah, I know that China doesn't have the greatest record on privacy, but I have several friends in Hong Kong that I hope will support my asylum case." Boom. Totally makes sense, and doesn't sound like a rehearsed rationalization that could have been scripted by the PRC.
It's the age of airplanes, dude. They aren't sending out the stagecoaches with deputies. Physical distance doesn't really matter if someone with access to the resources the US government has is out to get you. I think this guy is well aware of that (as you should be, too).
This is totally personal speculation based on how I would have behaved if I were in his position as a whistleblower that was a strong human rights privacy advocate. To me, his actions are incongruous with his statements. If he's not being manipulated by the Chinese, the other option is that he is just naive or careless and picked Hong Kong without considering what kind of political implications it would have, and was either unaware of its history in human rights and privacy, or chose to ignore it.
I'm fully willing to believe my opinion will change if more facts come in; just as it it stands now, I remain skeptical.
I personally don't think he has any PRC ties, however it does foster an interesting discussion, and isn't that what HN is all about?
I don't think that's the case here, however we really don't have any concrete evidence either way.
As far as law enforcement goes, you're spot on, physical distance is the least of anyone's concerns. The first consideration for law enforcement would probably be "How willingly will this jurisdiction work with us?"