“I’m goin' down to the station, catch that west cannonball”.
Sunshine Blues -- Memphis Jug Band

The Cannonball is a fast passenger train, that refers to a crack train (fastest train between two points) on the Illinois Central Line. On April 30, 1900, John Luther "Casey" Jones and his fireman, Sim Webb, were driving the cannonball express down to Memphis when it wrecked, killing Casey and spawning numerous songs and a movie.

"Now, The Flying Crow left Port Arthur, Texas babe – with a red, blue light behind."
Flying Crow Blues -- Dallas Jamboree Jug Band

The Flying Crow is a passenger train, a flagship of the Kansas City Southern Railway. The train was anchored in Kansas City and traversing to Houston. 

“I guess I'll have to catch the Frisco out, in this land.  Catch the Frisco out.”
Poor Boy, Long Ways From Home -- Gus Cannon (as Banjo Joe)

The Frisco train connects St. Louis and San Francisco.