I'm sure there is a rental agency that will either pick you up or rent you a car right out of the station. I rented a car from La Junta, once. I had a family function in Colorado Springs. We ended up arriving at La Junta, CO 26 hours after we were supposed to arrive in Denver, CO. We used Hertz.
We were insanely late. They did everything they could to help us. It was a mom and pop run franchise- they ran our card over the phone, pa picked us up in the car we rented- was waiting for the train- we got to the agency, Ma ran out with the rental agreement, we signed it on the hood of the car, and off we went.