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We consider a Bayesian functional data analysis for observations measured as extremely long sequences. Splitting the sequence into a number of small windows with manageable length, the windows may not be independent especially when they are neighboring to each other. We propose to utilize Bayesian smoothing splines to estimate individual functional patterns within each window and to establish transition models for parameters involved in each window to address the dependent structure between windows. The functional difference of groups of individuals at each window can be evaluated by Bayes Factor based on Markov Chain Monte Carlo samples in the analysis. In this paper, we examine the proposed method through simulation studies and apply it to identify differentially methylated genetic regions in TCGA lung adenocarcinoma data.