Image result for Everybody Dance 1936

1hr 14mins
Dir: Charles Reisner
Starring: Cicely Courtneidge and Ernest Truex

A nightclub owner poses as a country lady to help young relations

There is a rather fine station scene in this comedy musical with an LNER N7 Class 0-6-2T arriving with a train, but it is not known where this was filmed.

The single platform country station seen in Everybody Dance should be easy enough to identify. It is probably somewhere in either Hertfordshire or Essex as the train approaching is hauled by an LNER Class N7 tank locomotive.
Another view of the station if it helps