The Dolomites are indeed to far, but there are some great options close at hand.
I suggest you take the train to Luzern, spend time there or nearby, and then take the Treno Gottardo over the Alps to Locarno ( a journey that we find just as scenic as the Bernina Express, but much more convenient to reach). Locarno is a lovely Swiss town on Lago Maggiore, part of which is in Italy and part in Switzerland. After some time in Locarno, you can take a ferry on the lake to one of the Italian towns on the lake. Then fly our from Milan if you do not already have flights booked..
Here are some details:
Grindelwald to Luzern is itself a scenic train journey. You could stay in Luzern, which many people like a lot (but not us), or take a boat from Luzern to nearby Weggis, a small town on the lake 40 minutes away. We did this last September, staying at this lakefront hotel which I highly recommend:
https://www.gotthard-weggis.ch/en/
They have kayaks for guest use, and access to th3e outdoor pool at the sister hotel next door. And a lovely lakeside restaurant to enjoy.
Whether you stay in Luzern or Weggis, you can visit the nearby mountain Rigi. From Weggis iit is a simple cablecar ride up to Rigi Kaltbad, with beautiful views over the lake, and a spa hotel that accepts day visitors for the beautiful outdoor pool and other amenities. Or just go for a hike and enjoy the views over the lake.
https://www.rigi.ch/en
https://www.rigi.ch/en/experience/wellness
https://en.hotelrigikaltbad.ch/wellness-spa
From Luzern, you can take the scenic Treno Gottardo over the Alps to Locarno. If you stay in Weggis, you can can travel by boat across the lake to meet the train at Fluelen, making a lovely experience. We did this last September with our family. Or you can board the train in Luzern and ride to Locarno with no changes. Use the links on this page to see photos and earn more about the Treno Gottardo:
https://www.travelswitzerland.com/en/experiences/scenic-routes/treno-gottardo/
Locarno is a Swiss city in the Italian-speaking Ticino canton of Switzerland. There are nice hotels right on the lake just 2 blocks or so from the train station. We like this one, but there are others as well:
https://www.hotelgeranio.ch/en/
With several nights in Locarno, you can visit the nearby Valle Versasca:
https://www.ascona-locarno.com/en/explore/valle-verzasca
Note that the water in that river may be lower in September than what you see in the photos. You can also rent kayaks, or travel by ferry to island or other towns. Lots to do there. Milan is about 2 hours away by train if you want to fly out from there.