To mitigate the safety risks involve with skiing, a way to test the proof of concept might be to host one or two ski trains that sponsor a guided ski tour. This borrows from the Geology train that ran several times and seemed to be popular. The idea would be to promote it as an adventure that would guide participants into ski terrain otherwise generally inaccessible. The guides (volunteers ?) would be expert backcountry skiers with an appropriate level of first responder training. Perhaps a snow machine and toboggan could be carried on a flat car for evacuation if someone was injured.
But the problem is finding terrain that's far enough from the highway to provide a unique "wilderness" experience. And hampering that is that once the RR departs significantly from Hwy 17 past Cumbres, it's on south facing slopes where the snowpack can be a problem...either scarce or mash potatoes. I don't know if Sublette has consistent snowpack, but if so, that could maybe avoid such problems.
A better approach might be for a 3rd party or the village gov to gain a USFS permit to groom a set of XC - trails near the pass that might stimulate enough winter recreation that spurs better yr-round hospitality/facility development in Chama and just forget the considerable expense of running trains in the winter. I'm not trying to be a smart ***. I just suspect it would be be more cost effective.