Ok, I think I got an Idea (inspired by silverwolf).
Ok, let say the Gummi ship is used to transport you to other worlds, and maybe the twilight train takes you only to Twilight town. Think about it, no matter where you are, all you do is take this train and you go staight to twilight town.
I know that for me, it was frustrating always having to travel back to Traverse town before the Warp gummi, so maybe this is the solution.
Think about it, when mickey steps out of the train at the station in on od the movies, the track stops at a peice of concrete. It can't go any further than the station.
Diagram:
Sidewalk-Sidewalk-Sidewalk
------------------------- Sidewalk
Train Train Train --> l Sidewalk
------------------------- Sidewalk
Sidewalk-Sidewalk-Sidewalk
The train has no track to go forward to. So maybe this train only stops at twilight town.
So the Gummi ship is used to treavel to worlds, and the Train is a way to get to Twilight town really fast, from absolutely anywhere, without having to fly there.