There's a
copy of put up by Schegolev himself that says it's Vitebsk. But the main station there looks nothing like that, as far as I can see.
There's even a bit of text:
Here we were, standing on the aged platfrom of the central railway station. Suddenly, in the corner of my eye an old locomotive appeared. The machine looked tired, but was steaming peacefully, and awaited to begin it's ageless route. In the background, I noticed a girl, wandering through the foggy vapors, that smoothly conquered the space around the old steamy. I took a shot of her, and also made photos of other people scurrying around. My lens catched a a spellbinding game of light, as if two different times opened their doors ajar in one special place.
Of course - it's that old Russian habit of naming stations for where the trains go, not where they are! It's the Vitebsk(y) station in St Petersburg.