Lots of sources online say it was shot on the disused platform at St James, but that was the subway scene in the second film. Some sources say it was shot at a freight siding at White Bay. If that's true then the actual station must be a set piece. You can find some behind-the-scenes footage online[1], and you can see that the staircase down to the platform is real, so that makes me doubt it was White Bay. Whatever the case, it's not at St James. You can find lots of pictures of the disused platforms online[2], and you can see the roof is totally different. I'd love to know what the actual truth is!
I think this confirms the White Bay answer. I doubt this location exists anymore. The entire Glebe Island Silos area has been heavily redeveloped since the 90s.
There was a film studio out at White Bay they filmed some of the movie at too which was demolished shortly after which likely explains the general location.
The movie certainly benefitted from filming in Sydney right before all the urban renewal kicked off. Doubt you'd be able to commander a train and a disused platform space today on their budget.
[1]: https://www.youtube.com/watch?v=2f79nuDTcCA
[2]: https://commons.m.wikimedia.org/wiki/File:Disused_platform_S...