Single-cell genomic technologies offer vast new resources with which to study cells, but their potential to inform parameter inference of cell dynamics has yet to be fully realized. Here we develop methods for Bayesian parameter inference with data that jointly measure gene expression and Ca2+dynamics in single cells. We propose to share information between cells via transfer learning: for a sequence of cells, the posterior distribution of one cell is used to inform the prior distribution of the next. In application to intracellular Ca2+signalling dynamics, we fit the parameters of a dynamical model for thousands of cells with variable single-cell responses. We show that transfer learning accelerates inference with sequences of cells regardless of how the cells are ordered. However, only by ordering cells based on their transcriptional similarity can we distinguish Ca2+dynamic profiles and associated marker genes from the posterior distributions. Inference results reveal complex and competing sources of cell heterogeneity: parameter covariation can diverge between the intracellular and intercellular contexts. Overall, we discuss the extent to which single-cell parameter inference informed by transcriptional similarity can quantify relationships between gene expression states and signalling dynamics in single cells.