Learn Turkish: Onlar pazardan dönüyorlar. - They are returning from the bazaar.

The suffix for "from" is -dan or -den, depending on 2-way vowel harmony. Since the last vowel in pazar is "a" (a back vowel), we use -dan. If the word had a front vowel like "e" or "i" (like ev for house), it would be evden.

Doesn't pazar mean "Sunday"?

Yes, it does! Pazar means both "Sunday" and "bazaar" or "street market." In Turkish culture, some days of the week are named after market days. Here, the context of returning from a physical place tells us it means the market.

Do we need both Onlar and the -lar at the end of dönüyorlar?

No, you don't need both. Because the -lar on the verb already tells us "they" are doing the action, you could just say Pazardan dönüyorlar. Alternatively, if you keep Onlar, you can drop the plural ending on the verb and say Onlar pazardan dönüyor. Using both is grammatically fine but completely optional.

Where does the ü come from in dönüyorlar?