One train among many in the Bridge Cathedral. This one seems to be inhabited by a more boisterous group of Gandy Dancers than the others. Who could say why? If I had to guess, I'd say that those strange creatures are trying to take the train off of Fire Alight's track and put it back on the regular old Shape.
The Blue Wind is a train associated with the Triadic Pyre. It is introduced in Episode 33, and is the stage for the combat scene that takes up a considerable portion of the episode.
The Blue Wind's gandies are known to be special. On its being hung up with iron chains, they became enraged and aggressive and several combined into one unsettling amalgamation.