Learn Croatian: Jesi li u vlaku? - Are you in the train?

Because it is in the locative case, which is used to talk about locations. The basic word for train is vlak. Since it is a masculine noun ending in a consonant, it gets the ending -u when it comes after the preposition u (in) to show where someone is.

We learned that both u and na are used for locations. Why do we use u for a train?

In Croatian, you use u when you are physically enclosed inside something with walls and a roof, like a building or a closed vehicle. Since you sit inside a train, it is u vlaku. You use na for open surfaces or open vehicles, like na biciklu (on a bicycle).

How does Jesi li work to ask a question?

Jesi is the full form of the verb for "you are", and li is a special little word used to turn a statement into a yes/no question. Together, they translate perfectly to "Are you?".

Could I start this question with the shorter word si instead of Jesi?

No, because si is a short verb form, and in Croatian, these short words are never allowed to be the very first word in a sentence. You must use the long form Jesi to start this question.