They're not just for country songs anymore but let's get in the mood with the best train song ever. We'll give you a minute.
Trains in the novel, cheesy at it sounds, can represent the journey of life. The train to Chicago is sort of a symbol for him leaving his childhood and innocence behind. It takes him from being a country bumpkin to the big city, where he has a chance at fame and fortune but also risks danger and destruction.
Later the train will mean escape for Roy. When he loses his edge and falls into a slump on the field, he imagines leaving the city and baseball forever:
He longed for a friend, a father, a home to return to—saw himself packing his duds in a suitcase, buying a ticket, and running for a train. Beyond the first station he'd fling Wonderboy out the window. [. . .] The train sped through the night across the country. In it he felt safe. (6.74)
In this quote the train stands for everything in Roy's past; it's a way out, back to when he was a child (and had a father), and was safe, surrounded by friends and a home. Trains will mean escape once again when Roy finds himself feeling cornered by Iris and her persistent, friendly questioning:
He heard a train hoot and went freezing cold.
"Where's that train?"
[…]"It must have been a bird cry. There are no trains here."
He gazed at her suspiciously but then relaxed and sat down. (7.87-93)
Roy's looking for a way out. Things are getting really cozy with Iris, and since he has a serious aversion to being emotionally close to a mature woman, his instinct is to escape.