Once you are sitting in the train you are accepting totally that it will take you somewhere, preferably to the specified destination. Call it faith, call it surrender, belief in the unknown, or whatever. So when you wake up, you are not quite sure anymore what is happening, where you are now, what you should do next. Of course, no one is preventing you from getting out at the following stop. If you are impatient and feel a little adventurous, you can always crank down the window and jump out (though this is not recommended procedure). But if you choose to do that then what next? It all depends on the velocity and direction and the general orientation of things.