Hey, from Dubrovnik you can take a bus to Montenegro. Then you can go via Albania (bus/taxi) or take the train from Bar to Belgrade (very scenic!). From Belgrade there should be a train to Nis. From Nis continue by bus to Macedonia.

Note that insistance on using trains in this area makes trips much longer and may even mean it cost more as a direct bus. The daytime train MonteNegro-Bgrad is quite scenic, plus there is an overnite-the only train currently going over a border with Srbije. Other inland trains there are often cancelled and very slow-in Nis you may have to step in a  bus that left B-grad hours later as your train for onward. see also seat61.com for very pro-rails info on how to travel