You were on the Mirage Express for Amy's birthday for her "murder mystery party". However, after finding Sonic's body, you start to not be very reassured and so you decide to go to the Lounge Car, where Shadow was.

Pushing the door open, you saw Shadow sitting on one of the many red couches. He watches you enter, then he simply continues reading his book. He visibly didn't want to talk, but you entered anyway.