Almost EVERYONE now says 'train' station, and will justify it by telling you that we always say 'bus' station.
However, English frequently bends (and breaks) the rules, if it sounds better when you do so. Perhaps the most frequent example of this is not using the 'correct' pronoun before and after the verb 'to be' (both should be subject). I can't remember the last time that I said "It is I" (although I guess you might wince a little with "It is me who is coming").