You would be understood, but it isn't quite right. Try:
a) Does this train go to City Hall?
b) Is this train going to City Hall?
c) Is this the right train for City Hall?
or for extra points, even: Is this train bound for City Hall? :)
2016年2月13日
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What you said makes sense, but probably isn't what a native speaker would say. I would probably say: "Does this train go to city hall?".