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Leave the wagon to where? Like get off the train? The trains are all wagon, no?
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There's usually some space between train coaches (I think it's called a gangway?) or at the end of a coach (a vestibule) that is separated from the seats area by doors on both sides. You can take your call there.
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Gotcha. On the trains I'm used to (Amtrak, NYC subway) spaces between cars are either nonexistent, or extremely dangerous.
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In London, subway cars are either completely separated and you can't travel between them, or it's just one long continuous tube, there are no vestibules. You don't get much signal underground either way, so it's rare to see people on a call.

Most trains however have a space [0] at the end of each car where you enter and exit. That space can also have a toilet, bike storage, various (locked) train controls, sometimes even a few seats [1] where you can sit if your call will be a while.

0: https://www.cornwallrailwaysociety.org.uk/uploads/7/6/8/3/76...

1: https://www.modernrailways.com/sites/modernrailways/files/im...

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Amtrak trains have vestibules when I take them.
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Leave the department*, the parts where people get on/off trains are closed off from the seats. There's also some gangway connections which have doors between the wagons.
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