"My train station"
Translation:Nhà ga của tôi
tên tôi is a common combination and is highly acceptable. nhà ga tôi is hardly used, and is incorrect in this particular sentence.
In daily conversation, you will notice in many cases của is removed to shorten the sentence and is still understandable. Mostly in this scenario, the subject/noun was previously mentioned and the speakers understand each others.
However grammatically, you need "của" to imply "of" as in English. Therefore it's safer to always keep it in your sentence.