I think the problem is that the trains are a bit big to do different ones for each country, and even if you did, you would only buy the train without motor/track etc.
It would be nice if they could be issued as promotional items by the national railways (Like you see with some of the ferries & aircraft), maybe if you did more than x train journeys, or bought an yearly season ticket.
Obviously they would need a simple design, to keep the price down though.
Jof