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So you don’t have a Schengen visa?
The border between Switzerland and Italy is just after the station Campocologno when travelling towards Tirano. If you were on a regional train that stopped at Campocologno, you could get off there, but the Bernina Express doesn’t stop there.
So if you are on the Bernina Express, you would have to get off at Le Prese, which is the last station at which the Bernina Express stops before Tirano. It’s a popular and attractive town on the Lago di Poschiavo (Lake Poschiavo).
The advantage of taking a regional train is that you could go a bit further and get to see the Brusio circular viaduct, between Le Prese and Campocologno.
Perhaps you could consider taking a regional train to Campocologno so you can see the Brusio circular viaduct, then take a regional train back to one of the stations at which the Bernina Express stops, and take the Bernina Express for the rest of the way back to St Moritz.
You can use the Swiss Timetable to see if you could make this work.
http://www.myswissalps.com/ti metable
Alpenrose