"The bank is behind the train station."
Translation:A bank a pályaudvar mögött van.
It would be "vonatállomás" but really it is "vasútállomás". That is railway station, not train station. But both are acceptable.
A "pályaudvar" is a major station, with many tracks. Terminal stations are usually all called "pályaudvar". A "vasútállomás" can be any stop along a train line, no matter how small. Major hubs along train lines, in bigger cities, are also "pályaudvar".
Btw, major long-distance bus (coach) terminal stations are also called "(busz)pályaudvar". Even though "pálya" seems to refer to a fixed track, like a railway track. "Udvar" means yard/courtyard.
I don't think it has much to do with buildings/places. As they say, Hungarian is a topic prominent language, so a sentence is structured as topic - focus - predicate (typically a verb) - rest. Here the topic is the subject itself, we don't have a "rest part" and the focus is the location itself, which is quite neutral with van.