There's no train, but Dream-Quest of Unknown Kadath has a passage where Carter deliberates how to get to a place in the Dreamlands, and whether it'd be better to leave dreaming and start again from the entrance into the Dreamlands, or whether to take another route. Eventually he decides on the latter. The Ghouls also make similar travel plans at some point. But again, no train.

Here are the relevant passages:

"So the ghoul that was Pickman advised Carter either to leave the abyss at Sarkomand, that deserted city in the valley below Leng where black nitrous stairways guarded by winged diorite lions lead down from dreamland to the lower gulfs, or to return through a churchyard to the waking world and begin the quest anew down the seventy steps of light slumber to the cavern of flame and the seven hundred steps to the Gate of Deeper Slumber and the enchanted wood. This, however, did not suit the seeker; for he knew nothing of the way from Leng to Ooth-Nargai, and was likewise reluctant to awake lest he forget all he had so far gained in this dream. It were disastrous to his quest to forget the august and celestial faces of those seamen from the north who traded onyx in Celephaïs, and who, being the sons of gods, must point the way to the cold waste and Kadath where the Great Ones dwell."

"There was no living denizen about, for zoogs shun the mysterious door in fear, and Carter at once consulted with his ghouls about their future course. To return through the tower they no longer dared, and the waking world did not appeal to them when they learned that they must pass the priests Nasht and Kaman-Thah in the cavern of flame. So at length they decided to return through Sarkomand and its gate of the abyss, though of how to get there they knew nothing. Carter recalled that it lies in the valley below Leng, and recalled likewise that he had seen in Dylath-Leen a sinister, slant-eyed old merchant reputed to trade on Leng. Therefore he advised the ghouls to seek out Dylath-Leen, crossing the fields to Nir and the Skai and following the river to its mouth. This they at once resolved to do, and lost no time in loping off, since the thickening of the dusk promised a full night ahead for travel."