If we think that this is a very simple question in the beginning of the course, then perhaps the standard word order of questions comes to my mind. But, you are right, 'This is a train?' is asked in certain circumstances, and it's correct as well.
But, you are smelling it very well that the noun 'vonat' is actually coming from the verb 'vonni' (drag, pull). There are countless other examples to create a noun from a verb this way: "nézni -> nézet" (to view -> view), etc
No, 'egy' is the indefinite article 'a'. The four-word English sentence is translated into a three-word Hungarian sentence by dropping the verb. Strange as it might seem, in this situation the Hungarian does not employ a verb.