Neat idea! The idea of looking for threats in a moving safehouse (the train) is new to me. The difference between the real and inside your mind part is big but I think there is still room for improvements.
Some negative thoughts could move differently than others to make more difficult collecting pluses like going near the wall. I think tweaking with how you spot ghost in the real world could be better like giving tunel vision. Especially with sfx this could work wonders!
And I have found a bug. When I was looking through the window on the last stage screen suddenly became black and woman screamed and when the blackness disappeared I was on the first station again but with moved sprites.