"In these states, jurisdictional inspectors ask to see evidence of gas train and safety interlock testing."
The term "gas train" is not familiar to the average native speaker. It is normally only for technical personnel. The gas train consists of all the equipment that handles and delivers the gas, as the picture in besonders' link shows. The gas train may include the pressure regulator, control valve, automatic shut off valve, and the pipes that connect these components. The gas train is often defined as all components downstream from the manual shut off valve, and the manual shut off valve is also included as a component that must be tested.
The safety interlock devices may include components that are not part of the gas train. Those devices would include pressure switches, flame detectors, and other switches that may be used to automatically stop the flow of gas. The automatic shut off valve may be part of the gas train and also part of the "safety interlock" system.