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If they have them, you should simply see railroad tracks running somewhere in the map.
When in the zoomed out tile purchasing view, you should be able to see them, if present.
Also, click on each tile, and under "Outside Connections", it will show if connections are available within that tile for road, rail, ship and airplane.
It shows at the map selection as well. There is a symbol indicating the presence of rail outside connections. There are a bunch that definitely do not have rail connections. If you have been playing on the same map you are probably on one that doesn't have it. This is one of the reasons I mod the base maps before I use them.