If there is no train from Turpan to Dunhuang, should I get back to Urumqi take the train to Dunhuang after visiting Turpan

Although there is no train between, there is direct plane, which can take you to Dunhuang in around 55min. Well, if you still wish to take train for travel, use this way:
Take a train from Turpan to Liuyuan first, which takes around 7.5h. Then transfer to take a bus to Dunhuang in around 1.5h.

For the following trip, there is train service between Dunhuang and Jiayuguan and between Jiayuguan and Xian.