how come the first character for subway sounds different when in the sentence compared to when clicked on?
地 can also be used as a particle and is then pronounced "de" (it seems this is the "default" pronunciation for this character when it's all alone) but when it means "ground"/ "land"/ "earth"/ "field" or part of compounds it's pronounced "dì".
Excuse me, where is the MTR station?
In Hong Kong; or MRT in Singapore.
The subway systems in Taiwan (including Taipei and Kaohsiung) are also called MRT. But in Mandarin Chinese we call them "捷運/捷运"(jiéyùn), though the concept is generally the same as "地鐵/地铁".
Why "the". Shouldn't it be "a". Otherwise the sentence sounds unrealistic to me, though I am not a native speaker.
You would use "the" when you know there is one in the vicinity of either your current location or the location that you are discussing.
I think "a" is 一个
地 (dì) = earth/ground/place
铁 (tiě) = iron/weapons/hard/strong
地铁 (dì tiě) = iron ground = subway/metro
subway's station should be allowed.