>> <xsl:value-of select="for $i in $start to $end return concat('fig', $i)"/>

I suspect if this will give the desired result.

If you see the grammar for a "for expression"
(http://www.w3.org/TR/xpath20/#id-for-expressions),

it doesn't allow something like, $x to $y (with the semantics of a
range.

xsl:for-each allows this).

Saxon (ver, 9.1.0.2J) compiles the above for expression {for $i in
$start to $end return concat('fig', $i)} fine, but gives a blank
output. It seems, it considers _$start to $end_ as ExprSingle (ref:
http://www.w3.org/TR/xpath20/#doc-xpath-ExprSingle). It seems to me,
Saxon should give an error or a warning in this case.

I feel you should use the following code, instead:

<xsl:variable name="str" as="xs:string*">
    <xsl:for-each select="$start to $end">
       <xsl:value-of select="concat('fig', .)" />
    </xsl:for-each>
</xsl:variable>

<xsl:value-of select="$str" />

T:\ftemp>type mukul.xsl
<?xml version="1.0" encoding="US-ASCII"?>
<xsl:stylesheet xmlns:xsl="http://www.w3.org/1999/XSL/Transform"
                version="2.0">

<xsl:template match="/">
  <xsl:variable name="start" select="3"/>
  <xsl:variable name="end" select="5"/>
  <xsl:value-of select="for $i in $start to $end return concat('fig',$i)"/>
</xsl:template>

T:\ftemp>xslt2 mukul.xsl mukul.xsl
fig3 fig4 fig5
T:\ftemp>

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