A and B would be answers for to the question, "How are you doing?" not, "How are you going?"
As for why "On my own" is better than "By train" – if a person was traveling alone by train, either answer could be appropriate.
I'd like to think that the clues are:
the word "buddy" (which may suggest friendship? However, if it does, it's a poorly written question, because many folks are more likely to greet a total stranger with a word like "buddy" than a close friend), and
the follow-on remark, "A little busy, though."
However, neither one of those would suggest "on my own" is more appropriate than "by train" – at least not to me.
One last thought: "On my own" can also mean "I'm single, and I don't have a girlfriend right now." However, it's a bit of a stretch to think someone would answer a question about traveling that way, so, even if that was the case, I still think it's a rather bad question.