Edit: apparently this is a very common form of Japanese storytelling called an isekai. There are 8 billion people in this world, no idea can be original. And sometimes you miss out on things many other people know. I’m clearly one of today’s lucky 10000.
So you would assume you’re in a story. Interesting. If it happened to me, I would first think I’m dreaming, then the real world. But I wouldn’t think I was in a story.
I have extremely vivid dreams, and can sometimes lucid dream, so I have checks I can use to tell if I’m dreaming with a decent degree of surety.
Since dimensional travel via train isn’t a documented real world event, I would not jump to it being real as a first assumption.
That would lead me to conclude that reality itself was I question, and thus that someone had changed reality. Any simulations that we might be in as a reality would have something close to an author considering how our perceived history reality has worked. I would want to punch said author if I discovered that everything up to that point had been controlled and could have been so much better.