Is there a train to llangollen?

It is correct to say "On the train" when you are inside it. either one will work This is also known as being 'on board' the train.

yes

Not a direct train, you will have to change at Peterborough

Trains are built sort of like cars. They do each piece individually. They will either be built on the track or will be lifted by crane onto the service track that leads out of the complex.

maybe