I got an offer from my dream graduate school days after starting grad school somewhere else. What should I do?
To be honest, you will not be spared the moral decision. There will be a number of angry and/or unhappy people if you leave, there is no way around that.
The core question is: do you know the other supervisor? Will you be happy with them? Is the added value of the other topic/institution so much more than your current that this difficult and costly decision is worth it?
Because, yes, you will burn bridges. You have now to evaluate whether it is worth it. Do not look just at the institution, but also at the topic and supervisor. They are your key factors.
Should you find out it's not the right thing for you after all, that first institution is closed to you. I do not expect them to want to take you back; it would be unbelievably magnanimous (and lucky, namely that they would have a position and would re-offer it to you) from them to do it - and risky, too.
That being said, keep in mind that, they may be unhappy, but it is your life and your future at stake here.
In the end, nobody can make this decision for you. May your decision be the right one for you.