Not bad. A few issues. Here is my quick opinion (sorry short on time so I pounded the keyboard fast so sounds a bit hard, Not the intent thought. Think through it a bit, then if you want I can help you put together a solution with all the detail.
Day One
1. Breakfast at Great Market Hall
Wouldn’t be my first choice for breakfast. With a short trip, where you are staying will influence things a lot. I guess is you are in one of the hotels behind it, naaaaa, not even then.
2. Shop Great Market Hall for picnic lunch, souvenirs, paprika, etc.
Sure, I enjoy the market a lot. There is two kinds of paprika in town. There is the tourist stuff in the fancy dispenser that makes great gifts and there is the fresh stuff for cooking. So you get to choose. For the fresh stuff a grocery store will work, but if you want to go a little more gormet go to the Spicery. https://maps.app.goo.gl/qkotMJCw7kpTu8Qt9
3. Gellert Thermal Bath - look or gasp! swim?
Well, that will be a problem. Its closed for a couple of years for renovations. There are others to choose from.
4. Citadella (closed?) or up hill and back down to Gellert Hill Viewpoint
The viewpoint is open I think. Makes a better late-night stop than a daytime stop. You take a taxi up with a bottle of wine on your last night and say goodbye and regret not staying longer. https://maps.app.goo.gl/87rQgkLeJL5Q7F7Z7
5. Funnel Cakes from stands near Ferris Wheel of Budapest to go with...
I think what you are thinking of isn’t a funnel cake. Its called a Chimney Cake in English or in Hungarian it’s a Kürtőskalács which explains why we call it a Chimney Cake. Sure there are a few places by the Ferris Wheel, but there are places all over town, even in the subway stations.
6. Lunch in Elizabeth Park
Really not sure where you are thinking? Since you care going next to St. Stephens, I would save lunch for there. Lots of nice tourist places out front.
7. St. Stephen's Basilica - tour, climb to top
8. Dinner somewhere
There is so much good food, that to make a recommendation without knowing where you are staying might have you walking a mile when something as good was next door.
9. Danube evening cruise
Bingo! Great. You can even do the dinner cruise. Which ever you do make sure its after sunset.
Day Two
1. Jewish Quarter - breakfast, shopping, and souvenirs
Better yet, a tour of the Synagogues. Other than the Jewish history I wouldn’t spend too much time in the area. A mess with tourists. But the Jewish history is a must and its interesting.
2. Dóhany Street Synagogue
Okay, I spoke too fast above.
3. Lunch
Answer the question below, then I will make some suggestions.
4. Jewish Museum
Which one?
5. 40 minute walk via Szechenyi Chain Bridge to...
6. Fisherman's Bastion + Matthias Church
Both good if you make it in 40 minutes …. G-d bless you. You are better than me. But, yup. Great destination. I would take the bus up and walk back. Just so much easier.
7. Dinner
Same dinner note as above.
Day Three
1. Buda Castle
Well, you realize you will walk past Buda Castle to get to the Fishermans Bastion and the Chain Bridge yesterday?
2. Train to Vienna
Depends on if you are doing a MAV/OBB train or a RegioJet train. If it’s a MAV/OBB train …. Well I was about to say you were on the wrong side of town. But truth is you can get on the train in Buda (Kelenföld). I wouldn’t though. But again, it depends on where you are staying. If its RegioJet, you have to board in Buda (Kelenföld). But from Castle to train station isn’t a no-brainer.