Air resistance
The air inside the train is being dragged along with the train because the train carriages are enclosed boxes.
If you jump, the air moves with the same speed as you, and doesn’t drag you back.
The air outside the train doesn’t get dragged along with the train, and is usually stationary relative to the ground.
As you jump, you’re moving at the speed of the train through the stationary air, and the air pushes against you a little, slowing you down and meaning you land a little closer to the back of the train
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