Slightly disturbingly it was only the third of the short stories I found about cannibalism on trains that seemed to fit…
'Journey Through The Night' by Jacov Lind seems to fit the description.
There doesn't appear to be much written about it online, but I found this brief extract at JacovLind.com as well as a summary of the plot of the film made of the story:
The fellow-passenger looked still paler in the bluish light. His nose was straight, his lips thin, his teeth uncommonly small. He had slick hair like a seal. A moustache, that's what he needs. He could do a balancing act on his nose. Under his clothes he is wet. Why doesn't he show his tusks?
After 'that's how it is' he said nothing. That settled everything. Now he is smoking.
His skin is grey, that's obvious – it's taut, too. If he scratches himself it will tear. What else is there to look at? He has only one face and his suitcase. What else has he got in the suitcase? Tools? Saw, hammer and chisel? Maybe a drill? What does he need a drill for? To bore holes in skulls?
As well as this plot summary of the film version, submitted by user 'Bob the Moo' at IMDB.com
A man is travelling on a long haul express train journey from Amsterdam to Paris. He shares his sleeper compartment with another man who he engages in conversation. He learns that the man is a cannibal who intends to kill and eat him. The man is unsure of where his life is going and begins to be swayed by the cannibal's assertions that being eaten would give his life meaning and purpose.