Their live set was built around "Turn On Your Lovelight," "Woke Up This Morning," "Every Day I Have the Blues" and "Get On the Right Track Baby."
Their name seems to be a reference to the St. Louis Union Station, a train station famous, like many things in St. Louis, as having been the biggest and busiest thing in its field way back when. Its archways are designed so that one can whisper into them and someone else can hear you clearly on the other end, a design feature with no apparent practical applications, save simple amusements in a simpler time. It was largely built of limestone taken from Indiana, probably just to remind the Hoosiers who's boss, as the state of Missouri is entirely made of limestone and they're the nation's leader in lime production.
Truman having a laugh at St. Louis Union Station
In the 1970s, the station was bought by Amtrak. They ended operations soon afterward and relocated their operations to a building the unhealthily train-obsessed refer to as Amshack. Now it's a mall where tourists watch the guys at the Fudge Factory put on a show and the Footlocker has a basketball hoop with the backboard autographed by the D.O.C.