Okay, on the way to Bitter Springs I ran across a train station with no map marker. I began to explore it and ended up falling through the floor. Does anyone know if this was an unfinished place, possible future DLC site, or a glitch?

It's a bug in the game, and it happens to everyone at that location so it's not just you. It's on the official list of bugs that people are putting together here, so you might want to check that out.