I checked that there are no direct trains from Turpan to Dunhuang. By train, you could transfer at Shule He. For some trains on Dunhuang-Jiayuguan, Jiayuguan-Lanzhou, Lanzhou-Taiyuan, Taiyuan- Datong and Datong –Beijing routes, you can buy the tickets in Beijing. The train tickets are usually issued around 10 days prior to the departure date. So, to ensure getting the train tickets, you’d better arrange the tickets booking online or at the train station at least 10 days in advance.