I was interested to read that Paddington Bear was found on Paddington Station, not in or at Paddington Station. I would never have chosen this usage (I speak Canadian English). I had a look at Google Ngrams and found that at is by far the more common usage, with on and in coming far behind and with comparable usage. I did a similar search for on, in and at Euston Station with similar results. Then I did the same search for Grand Central Station, which, unlike Paddington and Euston stations, is in New York. Here, at and in are neck-to-neck, with on coming a distant third.
I assume, therefore, that "on X station" is a mainly British English usage. I'm curious to know why. What is it that one is on? Is it the platform that we're on? Surely not the rails? Does anyone know where the use of these three prepositions comes from wrt train stations? How does usage in other English speaking countries compare? Writing as a Canadian, I would lean toward the Grand Central Station usage i.e. at or in, but not on. How about other places such as airports? We're not on Heathrow, are we? Are we on the bus station?