Is there a train from Macau to Beijing?

No, I'm afraid not.

Not exactly Macau, but close enough. There is high speed rail station (Zhuhai Railway Station) at the Macau - Zhuhai, China border crossing, The Gongbei Port of Entry.
There you can catch a high speed rail train to Guangzhou South Station.
From Guangzhou South Station, you can catch another high speed rail train to Beijing West.
The trip takes about 12-14 hours, including waiting at Guangzhou South for connect.