Well, it's not necessary that the train go to the exact station to have that name. Baidyanathdham is hardly 6km from JSME and JSME acts as the main railway station for pilgrims bound to BDME. Many trains are usually named after famous places that the train acts as a link to. The Ajanta express between SC-MMR is named after the Ajanta caves for which Aurangabad (in the route of the train) acts as a rail-head. Before the rail link to Shirdi came up, many trains running between SC-MMR were called 'Shirdi express' simply because they acted as the main trains for Shirdi. Nothing too illogical here. Besides, there is already a Sri Jagannath express, so they picked the name of another place of worship that could be associated with the train.