I have extremely vivid dreams, and can sometimes lucid dream, so I have checks I can use to tell if I’m dreaming with a decent degree of surety.
Since dimensional travel via train isn’t a documented real world event, I would not jump to it being real as a first assumption.
That would lead me to conclude that reality itself was I question, and thus that someone had changed reality. Any simulations that we might be in as a reality would have something close to an author considering how our perceived history reality has worked. I would want to punch said author if I discovered that everything up to that point had been controlled and could have been so much better.