The standard way of obtaining proof of anything on European trains is to get the train attendant to write you a note. This is standard procedure when - for example - someone is on a ticket that is only valid on a specific train and their connecting train is late.

Another way of proving what train you were on (though this doesn't work in all countries) is from the stamp that is put on your ticket during the ticket inspection. Here in the UK they tend to punch a hole in your ticket or scribble on it, but in many other countries they have a stamp which shows the train number.