It's wrong, and certainly not what any train in England or America says. One could "welcome someone at the train", but it would mean one was at the station, ready to meet the person as they arrived on the train (or the other way around). That act would would be welcoming someone at the train. However one would say "Welcome to {station name}", or "welcome to the train" when meeting the person.
I note Austrian airlines uses "welcome you aboard".
Having said that here in England the announcements on the trains tend to be fairly odd. Rather than saying "The next stop on this service is London", they'll say "The next station-stop is London" (presumably in an attempt to distinguish from other sorts of stops, eg, at signals and stations at which the train doesn't stop). We also used to have a train company called "One" so you'd hear announcements like "The 7:30 one service to London will depart from platform 3" which sounds like "The 7:31 service to London...".