So I learned that to each surjective function exists an injective function. I wanted to prove the other direction since it sounded reasonable.

Then there should exist a surjective function f such that $fog = \operatorname{Id}_X$
For each injective function $g: X \to Y$, there exists a surjective function $f: Y\to X$ such that $f∘g = \operatorname{Id}_X$ applies.
Proof (Axiom of choice)
Consider for each $y∈g(X)$ the set $X_y := \{x∈X: g(x) = y\} $
Since $g$ is a function, there follows that $X_y , g(X) ≠ ∅$. For all $y: X_y≠∅$ since g is a function.
The axiom of choice says there exists a function $f : g(X) \to \bigcup\limits_{y∈g(x)} (X_y), =X,\;g(x) ⊂ Y$, thus it follows that $f: Y \to X$ with $f(y) ∈ X_y\; ∀y$ *since $g$ is injective.
So is this a correct proof and a correct claim? I just went with my gut intuition
You're using the Axiom of Choice for the wrong direction.
If we have an injective $g:X\to Y$, then assuming $X$ is non-empty we can construct a surjective $f:Y\to X$ without Choice the following way:
On the other hand, if we have a surjective $f:Y\to X$, then we need Choice. We can construct an injective $g:X\to Y$ the following way: