This train regional name will remain in Marathi.
According to your words returning train can be named in urdu but Urdu is too much less used in Uttar Pradesh so Marathi will be used as regional language for this train.
Himachal,Hariyana,UP,Bihar,Jharkhand,Rajasthan, MP,Chhattisgarh,Uttarakhand and Delhi are Hindi language states.