To be honest, there are several reasons why I think that station existed in Altissia and not Gralea:
1. When I datamined the benchmark, there was cut dialogue (can't remember atm) insinuating that the train leaves from Altissia and doesn't actually start in Niflheim. You can check my posts in the datamine thread a while back but I'll try and look for it later.
2. The bros talk about how the Altissian First Secretary helped them board the train and sneak the car onto cargo. How can she do this if they board the train in Niflheim? It would have been much easier to take the car out of the boat (which is implied is in there) and put it on the train logically in Altissia.
3. If you go OOB in Succarpe, the tracks come out of the water, indicating that it may have been coming from an underground tunnel from Altissia. Having a train connected to Accordo further solidifies Niflheims hold on it.
4. Pretty sure there are other Altissians on the train if you listen to some of the dialogue.
5. Correct me if im wring, but look at that video of the train station, all of the assets (benches/food stands/the paint easel/lights) exist in Altissia and have that architechure.
Might just be me though. But I'd love if they expanded chapter 10 to actually start here and travel underground to include more time for transitional dialogue. It also improves the transition fro. Accordo to Niflheim.
Edit:
@Vallen, yeah idk why they changed his physical appearance. Maybe because he's so lazy and slacks off they wanted to make it more realistic? Leave the muscle to Gladio lol but I really did like his older design.