yes, there are both direct buses and trains.
There is a direct bus Mon-Wed-Fri which leaves Skopje at 06:00
And there are two trains at 07:40 and 17:30
There are also some travel agents who organise trips to Thessaloniki with a van which cost around 800 den and I think this would be the best option for you. If you are in Skopje you can ask around. about 8 years ago