This is the plot of the play "The Ghost Train" by Arnold Ridley ( who later played the very old recruit in Dad's Army), later made into films, notably the comedy "Oh, Mr Porter" starring Will Hay. Sounds as though some Liverpool wit has adopted it for a story of their own! In the original story, a train leaves and completely disappears, without trace. The answer to the riddle is that it has been diverted, by I R A gun-runners, into a disused tunnel where the weapons it is secretly carrying are unloaded. It never does come out the other side of the tunnel .