Enter China on a provincial airport like Dunhuang

I (European citizen, valid Chinese visa) am planning to fly to China from Almaty (Kazakhstan) to Dunhuang in China. Dunhuang is not offically an international airport. The journey would be in two steps, but with one booking / ticket:

Almaty to Ürümqi (international)
Ürümqi to Dunhuang

Where would the entry into the country happen? Do I enter the country in Ürümqi or in Dunhuang? Is it possible in Dunhuang?

Bonus question: Will my luggage be checked through?

Note: Both flights would be done with China Southern.

Best Answer

You always do entrance formalities at your first point of entry to a country, in this case Urumqi. Not all passengers on the flight from Urumqi to Dunhuang will be coming from abroad, so it wouldn't make sense to do immigration controls in Dunhuang.

I don't know about the exact procedures in Urumqi but generally when you enter a country you collect your bag, go through customs with your bag, and then recheck your bag for your connecting flight. Signs at the airport should make it clear how to do this.