There are often thermostats in each room. Sometimes they work.

The dial thermostat is not graduated, that is, there is nothing that indicates a target temperature. No doubt this is to avoid calibration issues, but there is another reason. The dial controls the heat, which is like a baseboard heater. There is also airflow, which is sometimes controllable by vents, and sometimes the vents are jammed or broken. The air is normally cool and the room temperature is raised by adding heat from the "baseboard" heater. Because the airflow is nominally controlled by the occupant, a dial setting would not correspond to a fixed temperature.

There is a wide range of variability. I believe the air temperature can be adjusted by the attendant, and that would affect all rooms. I doubt if the air temperature can be set with any reasonable accuracy. The vents in each room might or might not be adjustable. The heater might or might not respond to its control.

Some people bring gaffer's tape to hold cardboard over the vent. This might be desirable because there is too much air, causing an undesired breeze, or because the air is too cool. I have not heard of anyone bringing a heater in case the room is too cool, but it might have happened.

Good luck. Dress in layers. The car's heating and cooling equipment is probably sufficient to compensate for the exterior temperature, but whether it performs is impossible to predict accurately. Also, you might want to spend time in the sightseer lounge or the dining car.