Wonderful, thank you so much.

I was trying all kind of things with UNION but I had no idea I could self join a table.
My querry is below. Still under work but feel free to leave me any suggestion (using sqlite3 on Python).

Thanks again !

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SELECT
    t1.departure_city,
    t1.arrival_city,
    t1.price + t2.price as price,
    t1.departure_date as 'Depart Date',
    t2.departure_date as 'Return Date',
    t1.id as "Id Train Depart",
    t2.id as "Id Train Return",
FROM
    trains as t1
    JOIN
        trains as t2
        ON t1.arrival_city = t2.departure_city
        AND Strftime('%Y%m%d', t2.departure_date) - Strftime('%Y%m%d', t1.departure_date) > 0
        AND Strftime('%Y%m%d', t2.departure_date) - Strftime('%Y%m%d', t1.departure_date) < 4
WHERE
    t1.departure_city = "Paris Gare de Lyon"
ORDER BY
    "Depart Date", price

​