I won't tell you how, but it's certainly possible to convert them in a certain manner which at least keeps UVW coordinates for the textures, and possibly animation. I can't really remember about that one. The models still require substantial work in Gmax or 3Dsmax to be able to export to Trainz, and the conversion has many flaws. It takes a lot of time and some good knowledge of Max.
The reason I'm not going to tell you how is because if people work it all out, then people may start converting things without permission, which is a big no-no. There's also a huge difference in the way the models are made and textured in MSTS and Trainz, and most really won't look good anyway.