When a card with undying dies, does it land in the graveyard first before it returns to the battlefield? I am wondering if you could kill an undying creature, then hit it with Purify the Grave or Nihil Spellbomb to exile it before it returns to the battlefield.
Yes, that works. Undying is a regular triggered ability that can be responded to. If the creature card is no longer in the graveyard when the triggered ability tries to resolve, the ability will do nothing.
Undying is a triggered ability, so you'll have a chance to respond to it before it's returned to the battlefield. If a creature with Undying leaves the graveyard before its ability gets a chance to resolve, Undying will see that the creature isn't in the graveyard and fizzle.
Undying & graveyard hate