The sequel went through many titles. It was originally called "The Mask Of Zorro 2" and then that title was changed to "Zorro Unmasked" which had been the original script title by Ted Elliot and Terry Rossio. After their script was not used the title went to "Zorro 2" then to "The Return Of Zorro" before Sony pictures finally settled on the title "Legend Of Zorro".
The locomotive used on the train at the end of the film was not actually capable of moving under its own power. The illusion of it pulling the train was created by alternately using an out-of-vision diesel locomotive to pull or push, a blue screen set up next to the steam locomotive with passing scenery added later, or an about 1/8 scale operable model of the train.