It is set on a continental train traveling back from some European holiday destination spot, and on it are our protagonist, a young flighty woman, and several of the vacationers from the resort where she had been staying.
In a first class carriage, she meets a middle-aged spinster, who has been traveling her whole life, off and on, and has just finished a stint as a governess for a wealthly family in some area which may have been Bavaria or Prussia or someplace. The two hit it off, go for a meal in the dining car, and pass and say hello to a few others. Back in the carriage, the girl falls asleep, and when she awakes, the companion is gone, and after several hours, still has not returned.
When the girl asks about the woman, everyone claims there was no such person, and for reasons of their own, the various pèople they had encountered on their way to the dining car also claim never to have seen her.
She, together with a couple of men she had met at the station awaiting the train, go about trying to find the women, while the men really do not believe her and think she is hallucinating.
Clever story, locked room (or locked train in this case haha) mysteries are always fun.