The Tray Run Viaduct near Rowlesburg. The viaduct is part of the image on the reverse side of the WV State Seal, according to Jim Comstock's West Virginia Encyclopedia.
I found this story in three sources, but I think Ruth Ann Musick's version, with a citation for the teller of the tale, is most credible. She called it The Misty Ghosts in her book Coffin Hollow (University of Kentucky Press, 1977. pp 41-42). Dr. Musick heard the story from Theresa Britton of Rowlesburg, who had heard it from her grandfather. Other sources are Ghost Train! by Tony Reevy and Haunted West Virginia by Patty A. Wilson. Ghost Train! cites Dr. Musick's book, but I don't have a copy of Haunted West Virginia to see its citations (I viewed the book online).
A young woman went to Pittsburgh to seek employment. (This was probably around the turn of the century when travel by rail was in its heyday). She found a position as household help and settled in to her job. But she grew lonely and she was homesick for the people and the place she left behind.
As it happened, she met a young man (one version claims she met him while visiting Rowlesburg, but Dr. Musick's story says that she met him in Pittsburgh). He was from a community called Manheim, which at that time was close to Rowlesburg, and now is incorporated within that town's city limits. With so much in common, they began to see each other a great deal.
Being far from home and lonely, the girl fell in love with the young man. Did he love her in return? That is hard to know this many years later. Whatever the case, he did not ask her to marry him. (Two versions of the story claim she was carrying his child, but the Musick story does not state that.) Perhaps he felt unable to support a wife financially, or thought they were too young to marry. It could be that he simply enjoyed her company but didn't care enough for her to marry her.
The girl grew despondent. She lost her position in Pittsburgh and had no choice but to return to Rowlesburg. As the train traveled through the night on the Cheat River line, she stepped out onto the platform. Perhaps she only meant to get some fresh air, or perhaps she was so upset over the turn of events in her life that she saw no other solution to her problems. As the train passed over the Cheat River caverns, she either fell, or she jumped to her death.
Bad news travels fast. The young man heard of her death and immediately returned home. He was overwhelmed with grief and felt he was to blame for her actions. On the anniversary of her death, the young man went to the scene of her death. He never returned.
When searchers found his body, it was a the bottom of the river near the caverns, opposite from where the girl had jumped.
The teller of this story said that old-timers say that on full-moon nights they would see mist rising from the place where the girl died; it would be joined by another mist rising from the Cheat River where the young man drowned, and then the joined mists would float away and out of sight.
It's difficult to verify stories like this since no names were attached to it by the time Dr. Musick heard it. Folklore often happens that way--while facts and dates may have been part of the story in the beginning, in time those seemingly unimportant bits were dropped and the main points preserved.
There are apparently several places that might have been the "Cheat River Caverns" or "Caves of Cheat" referred to in the story, all undeveloped sites. Online information suggests that a) the caverns are now called something else and are gated and inaccessible; or b) that they are actually located on the Dry Fork of Cheat. I wondered as I read the story if she had perhaps jumped at the Tray Run Viaduct, which looks like a good place to do such a thing.
So pinpointing the place from which the mists rise might not be easy. But it might be worth spending a night on the river to try to find out--if you dare.
For more information about Rowlesburg's railroad history, visit WV Rail Fan's website. And for more about the town of Rowlesburg and it's role in the Civil War, visit the Rowlesburg Visitor's Guide.