1 Monty: The Gorgons reputedly lived in Libya. We need to get to Tripoli as fast as possible. But the Nazis will be watching the airports.
2 Prof. Jones: We could take the train to Palermo and then a ferry from there.
3 Monty: Hmmm. A bit slower, but easier to hide on. Good thinking, dad.
4 Prof. Jones: And the dining service is much more well-stocked.

Palermo is of course on the island of Sicily. Despite this, you can indeed catch a train to Palermo from mainland Europe. More to the point, you could do so in the 1930s as well.

This is done not by means of a bridge or tunnel, but by a train ferry, a ferry designed to carry train carriages. In this case, your train proceeds to the mainland Italian town of Villa San Giovanni, where the tracks end at a ferry wharf, and connect to tracks laid on the deck of a ferry when the ferry is docked. An engine pushes the carriages on to the ferry, and you ride across the Strait of Messina to the city of Messina on Sicily within the train carriage. I've actually done this myself on a trip to Italy - it's quite fun for rail-philes.

This particular train ferry service opened in, believe it or not, 1896. There's a cool page here with details of the history and photos of the various ferries that have run this route over the years. The ferry I took is almost certainly on there, but unfortunately I never saw the name of it.

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2024-08-26 Rerun commentary: I clicked that last link half expecting to find a dead link and no page full of information, but was pleasantly surprised to find that it's still there! Worth a look if you like trains and/or ships. And really, who doesn't?