This sound effect can be found on The Producer's Sound Effects Library, which was made by Joel Valentine.
The horn that is heard in this sound effect is a Leslie RS3L air horn. But it has been said to have been recorded from New York Central E7a diesel locomotive #4029. However, this is yet to corrected if this is not true.
Links:
https://soundeffects.fandom.com/wiki/PSEL,_Train_By_-_5_-_Train_Engines_Approach._Short_Horn_Blast_%26_Fast_By._Freight_Train._Squeaks.#Audio_Samples