I can't seem too find where the LockPick trainer is in Dawnstar?

As far as I can find, there is no Lockpick trainer in Dawnstar.

There's an Expert Trainer: Majhad of the Khajiit Caravans

And there's also a Master Trainer: Vex, of the Thieves Guild, in Riften.

I think the Khajiit guy is a wondering trainer, so he may occasionally appear in Dawnstar, but isn't likely to stay there for a long time.

Hope this helps!

Prima_Andrew is correct. The only Lockpicking trainers are for skill lev 50 and above. At 50 you can train with Majhad at the caravans, and once you hit 75 you can train up to 90 with Vex. Before 50 and beyond 90 you're on your own.

Also, don't worry about learning the "Master Locks" perk as once you learn the Unbreakable perk it makes needing the added cushion for Master locks obsolete.