To be "on the train" means to be single and in pursuit of someone to spend the day and/or night, without the intent of perusing a relationship with that person.
On Valentine's Day the only way to "get off the train" would be to find a date, to give up in the pursuit of finding a date or when the clock strikes midnight and you're all alone.
Related: To be
on the desperation train / To be
on the train of despair / To be
riding the train.