The claim is most likely false.
It's common for Hong Kong protesters to use **water** to neutralize tear gas. [[video]]( [[source]](
While liquid nitrogen is priced similar to your average bottled water, liquid nitrogen would be impractical because is not readily available at the sites of the protests, dangerous (pressure explosion, cold burn*), and the public endangerment would be bad PR for the protesters, as well as an unnecessary legal liability.
* * *
*The cold burn video is about LPT instead of nitrogen because I wanted a source that uses innocent cartoons instead of gruesome pictures. It's safe to watch, no nasty surprises.