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Using data from orbit and from the rover Curiosity, scientists have determined that the material in the dunes in Gale Crater that Curiosity has visited are very dry and volcanic in origin.
This dryness is in contrast with the underlying ground, which shows evidence of water. The data also suggests that the material either came from multiple volcanic sources producing different compositions, or some of the sand was somehow changed at a later time.
In other words, the sand in the dunes came from elsewhere.