It's hilarious and self-explanatory! A perfect match of picture and caption!
I'm sorry, I meant to say an obvious example of gag grafted at random on a picture, since there's nothing about the picture that suggests a train whatsoever. If they'd neglected to put "In the Pullman Coach" on top people would wonder what they were talking about.
The cigarette and leg posture indicate sexual experience. The legs of the other woman indicates artistic incompetence.