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##Python 2, 77 bytes

lambda n:n[0:1]+sum([range(x,y,2*(y>x)-1)[1:]+[y]for(x,y)in zip(n,n[1:])],[])

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Thanks to Neil, DenkerAffe, and Erwan for pointing out improvements that I missed

Python 2, 77 bytes

lambda n:n[0:1]+sum([range(x,y,2*(y>x)-1)[1:]+[y]for(x,y)in zip(n,n[1:])],[])

Try it online

Thanks to Neil, DenkerAffe, and Erwan for pointing out improvements that I missed

##Python 2, 80 bytes

lambda n:n[0:1]+sum([range(x,y,[1,-1][y<=x])[1:]+[y]for(x,y)in zip(n,n[1:])],[])

Try it online

Thanks to Neil and DenkerAffe for pointing out improvements that I missed

##Python 2, 77 bytes

lambda n:n[0:1]+sum([range(x,y,2*(y>x)-1)[1:]+[y]for(x,y)in zip(n,n[1:])],[])

Try it online

Thanks to Neil, DenkerAffe, and Erwan for pointing out improvements that I missed

##Python 2, 88 bytes

n=input();print n[0:1]+sum([range(x,y,[1,-1][y+1<x])[1:]+[y]for(x,y)in zip(n,n[1:])],[])

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##Python 2, 80 bytes

lambda n:n[0:1]+sum([range(x,y,[1,-1][y<=x])[1:]+[y]for(x,y)in zip(n,n[1:])],[])

Try it online

Thanks to Neil and DenkerAffe for pointing out improvements that I missed