Why does the question have to have the form "Is this ... " These two words reversed pose the same question. Therefore my answer "this is the train to denver" should be accepted as correct.
As for the use of "a" as the article rather than "the" needs to be reviewed. The question posed in this exercise is one that would be asked in a train station. At the station there may be many platforms and even multiple trains at one platform. It is highly unlikely that there would be two or more trains heading in the same direction at the same time. It is when there are two or more present at the same time that the use of "A" would be appropriate. The more likely scenario is that there is ONE train going to Denver and the inquisitor want to locate THE train going to Denver rather than A train going somewhere else.