http://www.emblibrary.com/EL/new....
http://www.thememoriescollection....
http://www.windstarembroidery.com...
http://www.diamondcottagedesigns....
Not an alphabet and not free, but look at Starbird designs. My now 5 yr old train buff grandson seems to like their set. I got it a year ago at Embroidery.com, but Annthegran had it and Starbird has their own site. Good Luck on the alpha.
I have found it hard to find train designs other than baby ones, my 9yr GS loves trains & so does his father (hasn't growen out of them)they go train chasing (going to tain sights to take photoes) When he visited Aust we had to visit the trains so he could take some photoes to take back to Dad. Grandad introduced him to electronics so now he wants things to do with both. Girls are sooo much easier.
I recommend the sewweird too, you will not regret signing up for her newsletter, you get one very nice alpha each month and many more great things.
You might try Sew Weird, she has a train alpha going; check it out don't know if it's what you want
I would sugest the same as blhamblen go to the link below, sign in to their newsletter and you can get a whole trainalpha and numbers as well. Hope this helps.
Go HERE:) it is FREE...
can you tell me how many letters are out already >> I have yet to see ONE >>>