"Is this a train to Denver?"
Translation:Це поїзд у Денвер?
So, is "у" used to "to" outside of the locative case? If I said "Це поїзд у Денвері" would that mean: "The train is in Denver"?
In a comment I just read, це or цей, the comment explained that if you can replace "this" with "it" then use це. Цей (Ця) would be used to denote the specificity of the referenced noun.
If this exercise was not a question then Це would be fitting but as a question someone is trying to determine the destination of a specific train. There is another exercise with the identical question and answer in which I discuss the selection of the article. Because of the specificity, "the" is a better choice than "a".