While the show doesn't feature a train as a primary setting, it often uses imaginative play where the characters go on adventures, including trips on trains.
Uniqua, one of the main characters, is a Latina girl and often takes on the role of the conductor or leader in their games.
It's possible you're remembering a specific episode with a train, but it's more likely that the combination of Uniqua's character and the show's penchant for imaginative adventures with various vehicles, including trains, has stuck in your mind.