From Zagreb to Skopje

All by train IMPossible. Serbije and Macedonia have NO trains over their borders left-the once quite good but slow system of Yugoslav railways is falling apart due to no maintenance in >30 yrs. You can do bits+pieces on some local sectors, but then you have to find obscure buses in between-and sometimes even taxiś-the site seat61.com is the best source for this-read it till the end, as there are many updates.

IF you are a real dedicated railfan-you could use trains in a very long roundabout way: via HU-BUdapest-into ROmania-over the new Dunav bridge to Vidin-Sofia and then still the bus Sof-Skop (frequent service)-this will likely take some 3 days vs 1 long overnite in a direct bus. 

THus-locals who not even have that 2nd hd  car know better-they use a direct bus-there are scores and several are not even on the www. many are based in fact in Kosovo and make long trips mostly to Germany from there