Transition between Subway and Rail in SimCity 4

You cannot do this with stock SimCity 4 or Rush Hour, but there is a popular plop file which you can add to obtain a building with this functionality.

NDEX RailtoSubway Transition 2

A fully-functioning network-enabled plop allows the connection of railroad tracks at the top of the ramp descending down to a connection to the subway network at the bottom is now a possibility!