You can start out in Zurich if you want to and take an early train to Chur and get the Bernina from that starting point. You can easily get one of the TGV Lyria high speed services from Paris to Zurich. Personally, I would stay in Zurich for the overnight as opposed to Chur although Zurich will probably be a more expensive option hotel-wise; Chur has some decent hotels.

Again, some may suggest you start out in St. Moritz; that's up to you.

Once you arrive in Tirano at the end of the Bernina run you will have to transfer from the Rhaetian Rail station across a small square to the TrenNord rail station. Generally the local services (they are pretty much all "locals") run from tirano to Milan about every two hours. You would transfer in Milan for the train to Venice.

So, to do this in TWO days you would have to

take the TGV from Paris to Zurich and stay overnight either in Zurich or continue on to Chur or St. Moritz overnight.

Take the Bernina Express on Day 2 to Tirano; transfer to the train to Milan; transfer to the train to Venice.

It can be done but you have to understand the requirements.

Yes Zurich is the place to TGV from from Paris - then just like Dukey says - via Chur to St Moritz and onto Italy the next day.

Tirano to Milan change trains for Venice - probably 5-6 hours from Tirano - two more from St Moritz so IMO try to get to St Moritz the first day or face a very long 2nd day - should be no problem to get to St Moritz first day with early departure from Paris.

Swiss Pass - no not just for the Zurich to St Moritz to Tirano portion - just buy that ticket once in Zurich.

check out these fantastic sites IMO for lots on the Bernina Express - www.budgeteuropetravel.com (check the Italy section of their free online European Planning & Rail Guide for lots of info on the Bernina Express - entitled something like Going Between Switzerland and Italy the Scenic Way or some such wording; and www.seat61.com and www.ricksteves.com.

For Venice tickets www.trenitalia.com - Tirano to Milan is regional trains where you just buy your ticket in Tirano but from Milan to Venice you can get discounted tickets from the trenitalia.com site - but leave plenty of changing time in the huge and hectic IME Milano Centrale station as discount tickets are hard to change - full fare may not be that much in which case in Tirano just buy a Tirano to Venice ticket once there.

We took the Bernina Express from Chur to Poschiavo and back all in one day. We quite enjoyed the scenery and the 1st class panoramic train car.

Here is the website to find more info about Bernina Express:
http://www.rhb.ch/
Click on EN language at the top, then click on the Bernina Express picture, you'll see a page of details about Bernina Express with a route map. Click on the "Timetable" tab to see schedule, and the "Fares" tab to see prices. From Chur to Tirano is a bit over 4 hours. There is no need to break up this train ride unless you really want to.

A word of caution, you'll need to reserve seats on the Bernina Express ahead of time otherwise they may sold out. That means you'll need to book the train tickets ahead of time to ensure you'll get seats on a particular train at a particular date/time.

Go for it. We really enjoyed the Bernina Express (more than the Glacier Express.)

P.S.
If it were me I'd take trains from Paris to Zurich to Chur and spend the night in Chur. Next morning I'd take the Bernina Express from Chur to Tirano (departing 8:58am or 9:31am).

There are several good restaurants in Chur, and you can find hotels within walking distance of the Chur train station.

I agree with Reading54 but if you arrive in Chur after dark make CERTAIN you know where your hotel is located and speaking from past experience.

Thank you all for the replies!

Bottom line is that we would like to see (and fell) some snow. Will we find this in St. Moritz or Pontresina in late September (28-29)?

If this is possible, and with the info you provided, I'm thinking in something like this (and adding one more day):

28/09

Morning: Paris-Zurich (TGV)

Evening: Zurich-Chur-Pontresina (Regional. I know that I would not travel in the BE, but this make a great difference, besides the large windows?)

29/09

Sightseeing in Pontresina (or St. Morritz is better?)

30/09

Morning (09.52 or 11.31): Pontresina-Tirano (Bernina Express)

Evening: Tirano-Milan-Venice

P.P.S.

The Bernina Express' summer schedule and winter schedule are different. Look up its website to find out what is the morning departure time from Chur station based on your date.

There is an ABC hotel just across the street from Chur train station.

If you take an evening train Zurich-Chur-Pontresina you'll be passing all the beautiful scenery in the dark. What is the point of taking a scenic train then?

St. Moritz is a wealthy resort and Pontresina is a lovely small town with crisp air. One problem with St. Moritz is that your hotel may be quite a hike from the train station. (Take a taxi.) If you have a half-day to sight-see in St. Moritz you may consider taking cable car up to Piz Nair.

Late September will be very cold in that part of Switzerland. You definitely will see snow in the mountains all around you, but I do not know which town will give you a better chance of touching snow.

Reading54, thanks. You are right. I thought that taking the train in Zurich by 14:37 and arriving in Pontresina at 17:56 would give me enough sunlight, which reminds me that I don't have any idea of the time it gets dark.

So, to have the cake and eat it, I must pass a night in Chur (28-29) and then in St. Moritz/Pontresina (29-30)? Should I consider other city in the alps? I would like to go to Piz Nair, so St. Moritz seems a better option.

With the changes ("Pontresina/St. Moritz" means "Pontresina OR St. Moritz"):

28/09

Morning: Paris-Zurich (TGV)

Evening: Zurich-Chur (Regional)

29/09

Chur-Pontresina/St. Moritz - If I saw it right, this route doesn't exist in the BE. I would have to do it by Reginal train, right?

Sightseeing in Pontresina/St. Moritz (maybe Piz Nair).

30/09

Morning: Pontresina/St. Moritz-Tirano (Bernina Express)

Evening: Tirano-Milan-Venice

Is this my better option? Or, is it worth?

The Bernina Express' summer schedule and winter schedule are different. Look up its website to find out what is the morning departure time from Chur station based on your date.>

Note that there are about hourly local trains over the exact same scintillating scenery other than the official Bernina Express. I actually enjoy the regional trains more - they are rarely chock full as Bernina Express trains always seem to be so I can hop back and forth as the scenery dictates (though most of the best scenery is on the right side of the train when heading south) - so though it may be nice to take the official Bernina Express train, for which a reservation must be made to boot) you can just show up and buy a ticket for the regional trains that do not even I think take reservations.

Just make sure that you are taking a regional train that goes all the way through; some of them don't. Admittedly if you want to actually get OFF the train for a while then the regional thing might work better; but you may be waiting a while for the next one and some of those stops don't offer a lot.

Re St. Moritz: the town or I should say the central part of the town is pretty sterile IMO...other towns in the area I think you might find more pleasing.