A quick internet search claims it was filmed in the Alabama Hills, Death Valley, Mojave Desert and the RKO Encino Ranch. RKO did have its own movie train equipment (xV&T as I remember), so it might be some of that. THe Alabama Hills are a well known movie location still being used that is located in the Sierra foothills just outside of Lone Pine, look for Mt. Whitney in the background of many scenes of any movie shot there - so it is possible they could have used the SPng.
I would like to know, supposedly it is currently available on DVD.