'... they spent hours at Waterloo, looking for it, and nobody knew what had become of it.' What was Jerome talking about? What had actually become of it?

Jerome was talking about the train they took to Kingston.... they bribed an employee on another train because they couldn't find their own. It ended up being the mail train and its disappearance caused quite a stir.

"We learnt, afterwards, that the train we had come by was re- ally the Exeter mail, and that they had spent hours at Waterloo, looking for it, and nobody knew what had become of it."