Mike,
Yeah, that's one of the knocks against coal. But no external combusition system is without hazards....propane scares the hell out of me, especially in an accident situation.
My feeling is that a well secured, relatively small coal stove, with a well-built screen railing (not just a pipe frame) around it and appropriately insulated walls, provides reasonable safety. And be cheaply fabricated. Most of the time it probably will not even be lit. And when it is, we're moving slowly. Not much chance for a catastophic accident.
HEP style heating would be the safest, and probably the cheapest to install and maintain. But then you have the putt, putt, putt from somewhere in the train.
John