As you might expect, the Desert Prison Station is the nearest train station to the Desert Prison. It's basically in the middle of nowhere, but you can spend 3,000 gil to quickly make it to Deling City or Timber. In fact, if you take a train from either of those stations to the Desert Prison Station, but stay on the train, you'll end up in the other city. (However, since there is a direct line between the two, there isn't much use in doing this.)