In a three player game we had three pieces of train track laid but no open building slots. Someone annexed the town hall. Does the train station get placed at all? Does it destroy a building like the train track? Does the game end? Did we play it wrong to possibly get to this point?

Any info you have would be greatly appreciated. We could not leave the game set-up so we had to abandon it and we have no idea who won.

Yeah the problem with the rulebook is that it categorizes the actual railroad track pieces and the station as "railroad tiles", so yes, you follow the same rules as when placing the railroad track or the station and destroy the building.

The rulebook has a lot of things I consider wrong with it with things that aren't very clear. Luckily, the designer is a user on Board Game Geek and is usually quick to answer and respond to rules questions.