I found 2 links, the second of which refers to the first:

Railways Now Are All the Go with Steam

http://www.musicweb-international.com/railways_in_music.htm

from: RAILWAYS IN MUSIC part 1 by Philip Scowcroft :

One very early title, a song performed at the Vauxhall Gardens in circa 1830, is Railways Now Are All the Go With Steam, Steam, Steam.
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http://www.uclan.ac.uk/library/musrail.htm

MUSIC AND RAILWAYS
Most recently updated: 14th June 2007
Chronological, annotated list of pieces of music influenced by railways

1830
Railways Now Are All the Go with Steam, Steam, Steam
A song said to have been sung in the Vauxhall Gardens in 1930. [Information from Philip Scowcroft].
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maeve