Hello there,
Personally, I suggest you consider going to Bangkok after Koh Lanra and keep visiting Siem Reap for another trip when you have more time.
Firstly, since you have just “few days” and Bangkok is nearer than Siem Riep, of course, so you can save more time to visiting popular places in Bangkok. Secondly, there are many ways to get Bangkok from Koh Lanra. If you care about quick ways, you can choose flight or speedboat, or use slow ways such as bus, ferry to sightseeing. Thirdly, the best time to visit Bangkok is between November to January. The weather at this time is so comfortable without being scalding or freezing.